The usual method for encrypting a hard drive relies on software installed on the computer (such as TrueCrypt or Apple's FileVault).
You're looking for something that runs on both Windows and Mac (which is difficult without using something like Java, which might not be installed). It would have to be on an unencrypted part of the disk (so it can be read), and then you would have the remainder of the disk encrypted.
If you just want a Mac solution, then the best way is to create a .dmg disk image that is encrypted with a password. If you want true cross-platform, then you might be better off storing on a Cloud server and downloading when you need them, wherever you are.