I'm assuming that you mean a USB flash drive, even though this is the CD/DVD writer sub-forum. If it's a USB CD/DVD writer, please tell us.

If the device has a little sliding switch, slide it from "Lock" to "Unlock."

If it does not, try it on another computer. Some computers have a security policy in place not to write to USB drives.

If it still does not, back up all the data on it and
1) Reformat it (as FAT32).
2) Repair it with something like - heck, my Favorites list is broken, so I can't give you a link to a thread with a list of tools.
3) If it never worked, it may be one of the "fake" flash drives.
4) It may be broken and best run through a woodchipper.

Let us know what you find.