Please open Disk Management and check if the pen drive appears. Does it have a correct file format? Try to format it by right clicking the drive. If that is not possible, open CMD and type:
Select disk n
Go back to Disk Management and try to format the pen drive. I strongly recommend you to try the same on another PC.
If you want to create a bootable USB drive, there are some software tools that may help you. Check the link below for some suggestions:
Hope this helps