How to set password for external hard disk

Is that drive being used for Time Machine backups? If so, then Time Machine should have an option to encrypt the backups.

Keep your Time Machine backup disk for Mac secure - Apple Support

Choose a backup disk and set encryption options on Mac - Apple Support

conversion of a drive with data on it from one state to another in either direction takes from all afternoon to a few DAYS. The conversion will only make progress when the computer in on, not sleeping, and not busy. Time machine can not use the drive until it has finished converting.

Setting up a newly erased drive as encrypted or not encrypted takes no additional time.

NB> you can also ADD and additional time machine backup destination at any time, and a new stand-alone backup will be created from when you connect it. thereafter, ever-other backup goes to every-other drive.

Sorry about the delay in responding, but maybe it cannot be changed after the initial setup of a new TM backup drive.