Format pen drive kingston

What's the error message? Does it have a read-only switch on it? If it does set it to unlocked and try again.

Is the pen drive new or used with data?

If it is newly bought and you want to format it , you may see tutorial
http://www.ehow.com/how_2006214_format-flash-drive.html

If it is old with files and has format problem when it asks you to format, you did format but it cannot be formatted, then there is problem.

To fix this, you may try this solution http://www.icare-recovery.com/data-recovery-software.ht...

USB Flash drive tester

http://downloads.zdnet.co.uk/0,1000000375,39364218s,00....

The pen drive may be bad and need replacement.