After reading through some hardwareanalysis forums, here are some things to try.
First, get any important files off of the drive.
Second, look carefully for a write protect switch on the drive. These can be very small, so be thorough.
Then if these don't work, try one or more of the following (tailored for XP, though I would guess that at least some will work in the newer systems that I don't have): go to my computer and right click on the drive and select format. If this doesn't work, try (credit to John Biggs of the hardwareanalysis.com forums):
Under Storage in the left panel, click on Disk Management, wait a minute for Windows to do whatever it is doing,......
Locate the data stick/thumb drive/whatever-you-want-to-call it, in the right top window and click on it.
in the popup, click on "Delete Partition" -- make darn sure you are doing this to the RIGHT drive!!!!!
Right click again, and choose "Create Partition" (or was it format, I forget maybe it was both)."
It sounds like this problem could just mean that the drive is dead - maybe from removing it while writing or something.
Again, these are from what a search would have turned up - if you want to read all of these threads and not just the highlights go to