This is the solution. No need to use a software :
"To begin with, these steps are to be taken if you use Windows XP and have administrative rights to your PC.
First, remove the thumb drive properly - left click the USB drive icon at the bottom of your PC and choose Safely remove USB Mass storage Device. If got problem, your PC might already got attacked by virus. Do a complete virus scanning with updated virus patterns later. If cannot dismount properly, you have no other way - just remove your thumb drive.
Click START -> Run... then type REGEDIT. You'll get an error if you don't have the adminstrative rights to the PC you are working on.
Hightlight My Computer (inside the REGEDIT not on your desktop) Click Edit -> Find... then type WriteProtect. Make sure you have a tick on each Keys, Value and Data boxes. Click Find Next. After a while, you should have something like this appears:
Now double click the WriteProtect and change the value from 1 to 0 (zero). Click OK.
Then press F3 on your keyboard to repeat the search for more WriteProtect data. Do the same for every WriteProtect data you found - change the value from 1 to 0 (zero). Press F3 again until a pop-up appears which notify you the search for WriteProtect is finished.
After that, close the regedit and plug in your USB drives and it should work normally - try adding a new file or deleting an existing file to the thumb drive. Else just reboot the machine and try plug in the device again.
Enjoy!!!"
Found on : http://aku-dan-x.blogspot.com/2009/03/remove-write-protection-from-thumb.html