Is there any recommended way to password protect WD's external hard drives?

WD External Drives External Drives for PC
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Or will I have to use some kind of third party program?

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Just about all the WD drives sold now have built in drive encryption and onboard password protection. If you purchase one of the Elements drives, either desktop or portable, you will have to use a 3rd party security software since that line of drives does not come with encryption or security.