Alternatively, you could use the free application TrueCrypt, which, using (your choice of) encryption algorithms, allows you to create a file, which is then mounted, and acts as a separate drive, using a separate letter.
So for example, you create a 10 GB encrypted file. Then, you run TrueCrypt, point it to the file, it asks for the password, and then mounts it to (again, your choice of) a free drive letter.
From there, you can access the files on the encrypted partition, copy files accross, and so forth. When you are finnished, you select the option to unmount any encrypted partitions (you can simultaneously mount multiple partitions), and voila.
What I would reccomend, should you persue this solution, is to install TrueCrypt on your external hard drive, then create the file on the drive, and then copy the data accross. This way, you can access the partition from any system (Windows and Linux).