With FAT... You can't.
It's really unlikely that your pendrive has NTFS, but:
ntfs-3g (not in all driver versions, unfortunately), you can change this information through extended attributes:
(The attribute system.ntfs_attrib_be only exists since ntfs-3g-2010.5.22AC.5)
The NTFS attributes are mapped to two four-byte word extended attributes named system.ntfs_attrib and system.ntfs_attrib_be. The value of the former is represented with the endianness of the processor used (suitable for use with system functions such as getxattr(2)), the value of the latter is represented as big-endian and is more convenient for use with commands such as getfattr(1).
The table in that page gives
FILE_ATTRIBUTE_HIDDEN = 2, so:
getfattr -h -e hex -n system.ntfs_attrib_be yourfile
Bitwise-OR getfattr's output with
>>> print hex(0x1234 | 0x2)
0x1234 with whatever
(A calculator would work just as well.)
setfattr -h -v 0x1236 -n system.ntfs_attrib_be yourfile
0x1236 with whatever you got from step 2.
Damn, I should write
chmod.ntfs or something.