For changing the drive letter of your flash drive you can follow the below mentioned steps:
1. Log on to the computer as Administrator.
2. Insert a disk in the removable drive.
3. Click Start, right-click Computer, and then click Manage.
4. Click Disk Management.
5. Right-click the Removable Device (your pen drive) and then click Change Drive Letter and Paths.
6. Click Change.
7. Assign a different drive letter to your pen drive and click OK.
8. Again click OK on Change Drive Letter and Paths window.
9. Eject the pen drive and reconnect to see if the error appears.
Thank you for writing to us. From your post it is not clear as to what is happening after you click "Yes". Well, if you click "Yes", the drive letter will change. However, if you had placed any shortcuts, may be on your desktop from this flash drive, it might not work as the drive letter is changed. Also, any programs that you installed on this pen drive (which is not the case generally) will not work. This is the meaning of the message that you received.