There are a few available, my favorit to use is TrueCrypt.
You can create encrypted volumes or do the entire disk.
I highly recommend PGP. A few clients of mine have implement it and it works nicely. My clients are in the financial and pharmaceutical industries.
It is still possible to protect your important data from your hard disk drive, either external or the primary hard drive. However, it is always in the computer system side where the data security software is installed and executed. The best way to protect your data even if it would be stolen and run from another computer unit is to encrypt the entire drive using the Windows Encryption built in any windows Operating Systems.