Spotlight - Disk Utility is in your Utilises Folder.
File > New > Blank Disk Image
Give it a Save As: filename (this is the name of the file)
Give the Disk Image a Name (this is the name of the drive once its mounted)
Choose a Size, don't make it too big. You can always make another bigger one if you run out of space.
Format, stick with Mac OS Extended (Journaled) that way none of the Apps will have a problem writing to it.
Encryption: choose one
Partitions: leave Single
Image Format: read/write disk Image
Click Create
This will make a file in the location you selected.
The File will be names with the filename.
It will also Mount it ready for use.
You don't need Disk Utility so Quit it.
Once you have finished with the Disk Image Drive, Eject it.
Next time you double click on the File it will ask for the Password, then Mount the Disk Drive again.
They are very easy to use, just don't forget to unMount it when you have finished with it.
Also these thing are very secure, so don't forget the password, the files locked in it can't be retrieved without it!!!