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Error Removing U3 Programs

Hopefully someone can help with this situation:
I had installed Essential PIM U3 on my Cruzer Micro U3 Flash drive.  However, when I updated Thunderbird the the Lightning add-on, I realized I did not need Essential PIM as well.  I have uninstalled the program successfully, but the executable file is still on my flash drive.  When I try to delete the file, a window titled "Confirm" appears that says: "Please insert the last disk".  It gives me the option to click OK or CANCEL.  Clicking OK brings back the same window.  Clicking CANCEL brings up an error message indicating "Windows Explorer has encountered a problem and needs to close".
If I try to "right" click the executable to check the properties of the file, the same "Confirm" message appears.
Does anyone know what the problem is, how to fix it, and / or how to delete the file from my flash drive?