The drive comes from Corsair unlocked so you can use it as is. However, if you're buying the drive I would think you would want to use the security features that you've just paid a premium for. If so, activating the security is very simple. Press and hold the "KEY" button (the button that looks like a key) until both the red and green lights start flashing, and then enter your desired code.
One thing to note here is that even though it looks like you have keys for the digits 0 through 9, every two numbers are actually one key. So this mean instead of having ten digits, you really have five. You can select a code with anywhere from one to ten digits in it, so the possible combinations is extremely high. It would therefore be pretty hard to use a brute force attack to get past that many combinations, so I think that is out of the question for all but the insane. Of course, if you only used four digits in your code (for example), then there are only 1024 possible combinations to try. Someone would need to know you only used this many digits, and it is still more attempts than I'd want to make, but if someone really wanted it they could get in.
Once you have locked the drive, inserting it into a computer's USB port will produce no results. The system won't even see the drive is inserted. Once you unlock it the system will see it and mount it as normal. Once unlocked and connected to your computer, it will stay unlocked until you remove it. When it is removed the drives auto-locking feature will lock the drive within 15 seconds. There is no way to either lock the drive when it's installed, nor keep it unlocked for more than about 15 seconds when it's not installed.
So from this point of view they have a good security model. However, since you can't lock it when it's in your computer, and since it does not utilize any encryption, you're information is most vulnerable while the drive is connected to your computer.
In case you are the forgetful type, you can register your code with Corsair. If you happen to forget your code and you haven't registered with Corsair (or otherwise stored these digits somewhere), the drive becomes useless!
Since this drive is pretty secure when it's removed from the computer, at least logically, the next point of attack would be physical. Let's take a look at the drive when it's introduced to a physical hacker. In the below left image we see the Flash Padlock with its cover popped off. The below right image shows what it looks like with the keypad removed, and the few simple tools required to do so. There is a battery on board to run the lights in the keypad.
There is a black rectangle shown in the below left image which is nothing but a sticky/insulation pad. Found at the bottom of both the keypad and the drive is a 4 point contact location.
As I said, Corsair didn't design this drive to be protected from a physical attack. And it's not. By using a simple multi-meter I was able to determine what was going on when the drive was locked and unlocked. Let's just say that only 2 of the 4 contact locations are used for this, and supplying what was needed to by-pass the keypad was simple. Unfortunately, while I was "hacking" it I was also playing around and seeing how easy it was to either damage or by-pass the lock. Let's put it this way, other than doing it the right way it's much easier to damage the drive than to unlock it. So, this drive has now gone on to drive heaven.
Before you ask, no I will not tell you exactly how to by-pass the locking pad. But considering that I only used the tools shown above, a multi-meter, 2 pieces of wire, and some tape, I don't think anyone with a basic understanding of electronics would have any problems in by-passing the lock.