Seems to be a very common problem. I've seen other threads about the same thing. Let me check...
Here is a big old long thread about the topic: http://www.tomshardware.com/forum/77357-45-remove-write-protection-memory-stick
Basiclly it says to find the thumb drive in "My Computer", right-click on the device, and uncheck the "read-only" box.
Let me know if you need more detailed instructions on this.