The next step of the wizard lets you choose the size of the Virtual Encrypted Disk to create:

You can use either the slider to choose the portion of the available space to encrypt, or enter the desired size directly into the box to the right. The minimum size is 1 MB, the maximum is only restricted by the available free space on the USB drive and by the limitations of the operating system. (Windows seems to have the disk size limit of about 2TB at this time.)

What size you should choose depends on how you are going to use the USB drive: do you want to use it only to store the encrypted files, or do you want to be able to put unencrypted files on it, too? If it's the former, select all allowed space to be used for the Virtual Encrypted Disk. In the latter case, only a portion of the disk to encrypt and leave enough room for the unencrypted files.

Besides the size, this window also lets you choose the format of the file system to create within the Virtual Encrypted Disk by selecting it in the Encrypted file system list. (If you do not make the selection then by default the encrypted file system will of the same type as the file system of the host USB drive.)

Next step: Choose password and encryption