Step by step:
1. Open Disk Utility (which is in the folder /Applications/Utilities)
2. In Disk Utility, choose "New Blank Disk Image" from the File menu
3. Set the size to something suitably big, like maybe 4 GB if you have a lot of files
4. Set the format to "Sparse Disk Image" (this isn't really necessary, but it uses less disk space)
5. Set the encryption to AES-128
6. Pick a name for the disk image and hit Create
Make sure not to forget the password you choose — if you forget the password, you can't open the disk image without it.