What OS are you running?
I will assume a modern Windows like Vista, 7 or 8. I will also assume that it is not your OS disk.
Open an admin level command prompt, so right click and choose run as admin on the command prompt.
Then use diskpart commands:
diskpart
list disk
select disk n (where n = the PNY SSD)
clean all
Unlike a format, this will clean everything from the disk like a secure erase would do. And be *very* careful to select the correct disk, since whatever you select will be permanently wiped. Note that if the SSD has failed, it could now be a read only device. If this process does not completely erase it you may have that situation.