How to password protect WD Black 5TB

I bought my passport WD Black 5TB to use between Mac and PC.
Formatted it ExFat in Mac.
I am not sure if I need to format it in Windows as well, but I read I needn’t, so did not (yet).

Next step is to password protect the external drive, but I can not find out how to. The password I add when “right clicking” on the drive is not accepted.

As you can tell, I am not a pro, already spent an evening on it and do not dare to start using the product without adding a password, since I am afraid I can not add it once in use.
Please help! Thank you :wink: