I was going to say Windows’ Disk Management but I just tried that and see what you’re saying. 
I am not aware of an alternate Windows utility to manipulate USB volumes. At this point I suggest booting a Live Linux CD and see if it can delete or format the USB drive. Parted Magic would be a good one to try: http://partedmagic.com/doku.php?id=downloads
hmmmm The recent last posting on this thread sounds interesting. It can’t hurt to try.
