I am assuming that this drive doesn't have a switch on it that can lock or unlock the write protection. If that is the case, try the below option:
Click > Start > RUN > type "CMD" Then
Type "CHKDSK" and type the drive letter of your USB drive and "/F".
Example: chkdsk Q: /F > Enter (Q: being the drive letter)
After this is complete, safely remove the drive from your system and plug it in again. Try to format it again after this. This has solved that issue for me in the past.