Pen Drive format

Hello,
Hello,Sir/ madam
I cannot format my 4GB PNY micro attach pendrive.. It is detected but not accessable.. When i try to open the pendrive windows is displaying the message "The pendrive needs to be formatted. Format it now?" and when i give "Ok" it is again displaying that "The disk is write protected".. The name i have given to it dissapeared and is displayed as "Removable Disk".. When i right click the properties it is displayed to be the "Used space - 0 Bytes Free space - 0 Bytes" and also there is no option "Sharing and Security" in it.. I atleast need to to format it inspite of losing data..

plz help me