One came with my financial calculator, and though it is only 30megs, I'd still liek to use it.

I was just fooling around with an USB memory card.  One of the first options Windows presented me with was whether to format the new drive.

If it's write-protected, you're probaly SOL.

The main question is, How is it write protected?  Check to see if there is a little bitty switch that has a closed padlock and open padlock icon by it.  If it does, make sure it is at the open padlock icon.  This switch is jump drives (USB thumb drives) and every other type of USB drive I have seen.  

What make and model is it? Is there a small switch anywhere one it? Some thumb drives come with a switch to lock (write protect) and unlock (Un-write protect) the drive. The only reason I ask is that I just went through this last night with my lovely bride who was trying to use her thumb drive but did not know it was in the "locked" postion and therefore she could not transfer any files to it.

I have been able to re-format other thumb drives using a program called "Gdisk". It is from the Norton Ghost program. However it is a DOS program and therefore cannot be run in Windows. If you have a floppy drive and are familar with DOS, you could try that route. You might also try just sticking the thumb drive into the computer and then right clicking on it. That should bring up a drop down menu with the "Format" command on it.

there is a switch on it, but it still gives me the "write-protected" message whenever I try to format it in either position.