How do I know my files were encrypted?

When EncryptUSB is running, files on your drive in Windows Explorer looks like regular files.
Explorere-CryptUSBIsRunning

 

But when EncryptUSB is not running (because you have manually exited EncryptUSB), your files on the drive have extension .clevx and show a lock icon  icon

Explorere-CryptUSBIsNotRunning