1. press win+r
2. Tye cmd and hit enter
3. write following command
4. chkdsk X: /r
Where X: is your pendrive. If your drive letter is E then type "E:"
You need to wait until it get finished. It might take some time depending on your Drive size and files on it. You may feel that its unresponsive but dont interrupt it, and let it do its work.