Files not protected

64 gb cruzer glide & win 7 - Installed vault, established password. 1st time using/testing I cut and pasted files to My Vault \ Files.  Safely removed stick. Put it back in - No protection. Moved files to My Vault. Safely removed stick. Put it back in -Same problem - When I insert the cruzer glide I get “Your vault is ready, click here and open” . Clicking there and it is open?? NO NO NO - I want the doors of the valt shut until password is entered, not opened with a click. How do I put security in place?

Thank you