First, if it's an SD or other flash memory card (from a digital camera, for example) then make sure its write-protect switch is set to allow writes:
If that doesn't solve the problem, then check to make sure that writing to USB devices isn't disabled in the Registry.
See: http://www.ghacks.net/2011/03/18/how-to-enable-write-protection-of-usb-devices-under-windows/