Your drive is possibly corrupt and/or defective. I had a similar problem on a drive that I had purchased off of eBay. If your using Windows, I would try following these steps:
(Note: This will remove anything from your drive!)
Go to Start --> Run --> type "cmd" --> Press Enter.
Once the command prompt opens, type "diskpart" then hit Enter. Next you will need to type "list disk" and hit Enter. You will then see a list of disks beginning with Disk 0. Find the disk that corresponds with the usb drive.
For this instance, say the usb drive is disk 1. Type "select disk 1" in the command prompt, hit Enter. You will then see a message that says Disk 1 is now the selected disk. I used disk 1 as just a reference, you need to type the disk number that actually corresponds to the usb drive.
Next, type "Clean" in the command prompt, hit Enter. You should receive a message stating that the disk was cleaned.
Now, type "create partition primary" in the command prompt, hit Enter. You should receive a message stating the specified partition was created.
Now, type "active" in the command prompt, hit Enter. This sets the partition as active.
Now, type "format fs=fat32" in the command prompt, hit Enter which will format the disk.
Now you should be all set with a fresh usb stick with no errors. Once the format completes, the usb stick should work just fine.
Now, just type exit to exit diskpart and then type exit again to exit the command prompt
If that doesn't work, then I am sorry to say but your drive is pouched. Hopefully you can return it to whoever you bought it from.