Hello and welcome to Tom's Hardware Forums.
If the Security tab doesn't appear in Properties when you right click the stick in My Computer, you need to turn off Simple File Sharing from the Tools>Folder Options menu then View tab. You won't easily be able to do this in XP Home so post back if you don't have the Pro edition. Restart the computer and that tab should be visible.
There's also a registry tweak if this method of disabling Write Protect so even if you have XP Home it's not over yet.