As already mentioned Truecrypt is not an option that would run on any Windows XP installation. This is due to the fact that creating a "virtual" drive requires administrator privileges.
Without such a virtual drive you cannot:
- use files on the usb drive from any software
- run programs from it
Afaik the is no solution to overcome this limitation in a easy and secure way.
The simplest solution that would work everywhere is an encrypted archive file. 7Zip for example can use AES256 which is, combined with a sufficient long pass phrase, a good layer of privacy. 7zip is also available as es plain exe, so you could put it one the stick and take it with you.One thing you have to keep in mind: If you access an file from inside the archive it will be copied to the host temporary directory and possible not deleted securely.
Also I recently saw (on the Cebit, which is an Internationale IT fair in Germany) some AES encrypted usb drives which were explicitly advertised as being true AES combined with a host software which fed the encryption key. Sadly I haven't the name of the manufacturer in mind. But I'm convinced that there are some real solution if you are willing to pay the price (both: money and transfer rates).