I agree that it's way easier to implement encryption on the PC. If it's a WLAN it's done already by the manufacturer, if you use serial communication it's still much easier to encrypt before sending out and decrypt while receiving.
The Arduino has quite limited resources (CPU power, RAM). What kind of encryption did you have in mind? DES? AES? BlowFish? What data rate do you expect to achieve? In your first post there wasn't one word about encryption, what other important information did you forget?