PenDrive is not Open Directly

Hello,
Dear sir,

i am having 4GB hp pendrive ,when i insert my pendrive in to my pc and goes to my computer its not showing drive sign showing only file saughtoff sign and when i double click on that its not open and when in select auto play its open and window E select its open ...i want to open it directly on double click and my pendrive is not formatting at all when i format this massege is apper on screen that is- window cannot format this drive .quit any disk utilities or other programmes that ore using that drive and make sure that no window is displaying the content of the drive then try fromatting again
please help me waht to do???