To use the "NTFS Drive Protection" your Removable Drive's Files system must be formatted as NTFS. If your Removable Drive's File system is not NTFS, You can easily Convert it but first of all please backup all your Removable drives's data.
Click the "Other options" button (at the end of the right upper side) and select "Format Drive" Option.
Under the File system, select NTFS and click the Start button.
Note: If you use Windows XP, you can't see the NTFS Option. please unplug your Removable drive and Plug it again. Format will delete all your data in Removable drive.
Under the File system, select NTFS and click the Start button.