First: some pen drives have a little slide switch that will write-protect them. Slide it back.
Second: try the drive on another computer. Some machines have a policy set that won't let you write to a flash drive.
Third: browse through this:
http://www.tomshardware.com/forum/272402-32-flash-drive . There is a section titled "http://www.tomshardware.com/forum/272402-32-flash-drive."
Have you ever been able to write to the drive, or is this the first use? Is there data on the drive and, if so, can you see it?