This article explains how to create a USB security key for both Windows and Mac computers (you can use virtually any USB flash drive).
How to Turn Any USB Drive Into a Windows Security Key
If you want to secure a Windows 10 computer, you have a lot of options. We’ll show you how to use USB Raptor since it’s free, but there are also a number of paid apps that do the same thing if you’d rather have access to extensive user support in case anything ever goes wrong. Some paid apps, like Rohos Logon Key, work on both Windows and Mac.
Here's how to create a USB security key using USB Raptor:
Navigate to the USB Raptor project on SourceForge and click Download.