Sounds like you yanked it out without doing a Safe Removal.
And without knowing what OS your using, how you attempted to format it, what told you that you can’t and what utility pops up there’s really no way to diagnose your problem or offer specific advice.
Windows has the necessary function for formating drives so use that.
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.
Formatting your memory card, flash drive or device:
Double-click My Computer, or Computer (for Vista)
Right-click the drive letter associated with your memory card, flash drive or device, then select Format
(in the sample image below, we right-clicked on H:)
WARNING: Make sure you select the correct drive letter.
Select a File system type.
NOTE: Select FAT32 for 4GB or higher capacities. FAT for 2GB or lower capacities