New pen drive, all new folders create a shortcut folder...?

I've been trying for 3 days to figure this out...
I bought a new 32GB Transcend pen drive, and was doing a ''send to'' import of pictures from my hard drive folders to the pen drive, as a back up for the pictures. All the folders I created in the pen drive converted themselves to shortcut folders, and I can't delete any of them without formatting the pen drive. I can't even move individual photos once imported to the pen drive (when not specifying on the ''move to'' when sending from the hard drive to the pen drive).

Multiple you tube video tutorials haven't been able to help, seems they all deal with locating lost data on the pen drive (a shortcut virus is what I'm coming up with online). I don't have lost data (yet!), and have never had an issue with the other pen drives that I've used.

Is this an infected pen drive (it's new), or a hard drive issue?

Help, please!!
Thanks in advance, Vicki