You can get details of this here: Portable Mode (I think that some of that documentation is a bit out of date but the basic information given should be fine.) Should work on a flash drive too but you need Administrator privileges to run it successfully.

The downloaded file just extracts the contents of the file to a folder of your choice and you can use it from there.

Just look on the download page and get it from there. There is a portable version of VeraCrypt. The only downside of that solution is that you need to have the VeraCrypt software installed on any computer that you want to use to access your encrypted volume, but if you're always using FFS too then that shouldn't be a big issue for you. The upside is that you can use it on any drive, unlike the proprietary solutions like SanDisk and Toshiba put on their drives. Now I am using VeraCrypt (free and open-source) to manage a secure volume (like a 'vault') within my thumb-drive, and FreeFileSync works perfectly with it. Unfortunately I lost it (luckily my data was secure!), and now I'm trying to find a new one with the same software, as I don't know of any other thumb-drive manufacturer that does what I (and you) need, built-in, in such a simple and secure way, without paying a high price. I had a Toshiba USB stick that was much better - it had a Public partition, which was visible when you inserted the drive, and a Private partition that became visible (and accessible as a normal drive) when you unlocked it. So I think that the SanDisk SecureAccess is only suitable for files/folders that you're happy to copy manually - it's no use when you have huge folders that you want to synchronise daily, using FreeFileSync or rsync or anything else. The only automated copying it supports is making a backup, from the USB drive to your PC. Unfortunately I don't think it's possible - the SanDisk SecureAccess 'vaults' are only accessible via very limited interfaces, through their software application.

Sandisk secure access