Is this a new pendrive? Did you enable write protection or this message seems more like an error? I strogly recommend you to test the device on another PC and try to format in Safe Mode. Is it possible? If not, run the Command Prompt as an Administrador and type the following commands:
Select disk n (n is the number of the drive)
Attributes disk clear readonly
Close the Command prompt, open Disk Management and try to format the drive.