I believe this program will solve your issue:
BetterZip can open, extract, and
create password protected zip files
that are compatible with PKZip2 or
WinZip's AES256 encryption. Whenever
BetterZip needs a password for an
operation a panel will drop down and
ask for the password. BetterZip can
split archives into multiple volumes.
Add files and folders to existing
archives, update or rename files
already in the archive, move files
around within the archive, and delete
files and folders from an archive.
Create new folders inside the archive.
Easily search for files and folders by
name inside the archive.
Although apparently it costs $20, i was able to download it. Was not installed though, so it may require registration after a certain period.
I recommend you try the TrueCrypt answer also.
I also came across this Tutorial that does not appear to require any third party software.
All you have to do is open your Terminal and cd to the correct directory, then enter
$ zip -e myzipfile.zip file1.txt file2.txt
However, to open a passworded zip file on Mac you require third party software. I found this tutorial that used Zipeg to open the passworded zip.
I did have a friend try it though, and he used
$ unzip myzip.zip
And was prompted for the password.
The tutorial had mixed comments on it, so your version of OS X may vary on the results.