Transcend 4GB pen drive problem

Hello,
Please help me
i have 4GB transcend pen drive
when i insert it in pc port i shows that pen drive connected
but when i want to open it by double clicking it , it gives message
"Please insert disk " with drive letter like J: or K: etc

when i right click it none of the options is accessable except properties
in properties none of the options work
and show total space as used i.e. in blue color