How many partitions did you make on it? If more than one, Windows only recognises the first primary partition on a pen drive because it's classed as a "removable drive".
So the easiest thing to do is have just one partition on the pen drive which is how most people use them anyway. There is a way round it but I don't know the details - I know it's a bit on the technical side though, and there's a chance you could corrupt the drive so it doesn't work at all.