it all kind of depends on what rights your IT department have given you
If they've made you a local administrator of your computer then you can install and run software on it, which means you can install an encryption client on there.
Might be worth asking them if they will install the client for you, then they don;t have to give you the rights.
On the other hand, they might be worried about
why you want to encrypt stuff? are you leaving, what of their secrets are you taking?
Any decent IT department should be asking those sorts of questions..
as for the actual USB drive, you're better off just buying something that is the size you want, but with the read/write speeds you want, probably make sure its USB 3 compatible so it'll last, and then use some fo the free software to encrypt it.