So you have Mac OS and own a pen drive that won't work when you plug it in?
Maybe try it in a PC - copy the files to the hardrive if it works and then format the pendrive on the mac.
I'd suggest going to disk utilities (search for it in finder). It should come up there, check to see if there's errors with it. If there is, or you're not sure it's probably best to format it. Just make sure there isn't anything on there you need. If you're only it in mac computers choose Mac OS Journ. Extended - if it needs to work on PCs too use Fat 32.