When someone looks at the contents of you CD/Flash drive they will see all the files in it (unless you give it a hidden partition but that's going overboard), they will see your password protected file but won't be able to see what's in this file, you could make it a little more confusing for them by giving the file a strange name (a system file name perhaps, maybe "Thumbs.db" for example instead of "MyFile.RAR"), or if you're really paranoid you could embed this protected file into another, such as a picture.JPG, so when they look at it all they see is a picture and have no idea there's something inside it (unless it's a tiny picture that's 50MB hahahah). But if you're really really paranoid use some misdirection aswell as embedding your file, you could add a garbage file, fill it with completely useless incoherent data and name it something like "MY CREDIT CARD NUMBERS.HGV" They'll spend most of their time with this file before they even get off the strarting blocks, but that's just cruel.
Edit:
Are you trying to sneek something through customs you naughty bugger? lol