It sounds like you've got hidden
autorun.inf file in the root of your USB drive. You shouldn't have this file after formatting a drive (Unless this is U3 Flash drive and the autorun file is located on different partition).
Double click to open a specified file (like a .exe program or text file) is actually one of Windows autorun feature.
Worth to be noted, putting
autorun.inf (and its .exe file) on abitrary inserted drive is a known replicating behavior of Autorun malware (See Wikipedia on Autorun).
I'd try making Windows Explorer to show all hidden files including "protected OS file", followed by deleting any of hidden autorun files I found.
On any Explorer window click
File and Folder Options, then switch to
Make sure the the highlighted ones are set this way:
Finally see whether there are any file on the root of your USB drives. If any, delete
autorun.inf and any unknown file you found. Since you said you just formatted your drive I'd assume it's safe to delete everything else.
Try to replug your drive.
(You can undo the changes in folder and options setting).