Hey there, kaustubh_1.
Try the pen drive with another computer, to see if the same thing happens and if you are able to reformat it. If you still have that issue you could try out the offered solutions from this article: http://www.wikihow.com/Disable-Write-Protection. If that doesn't prove useful as well, you could try reformatting it via the manufacturer's formatting tool (most of the USB flash drive and memory card manufacturers offer such tools for their devices), to see if this is able to fix things up.
Edit: seems like you've already received an answer while I was typing. Unfortunately this is really possible as well, but let's hope this is not the case.
Hope that helps. Please let me know how it goes.
Boogieman_WD