Convert your pen drive from fat to ntfs.

By default windows format pen drives with FAT file system, which has some limitations. It cannot store file larger than 4 GB. But nowadays we have transfer files more than 4 GB such as images of DVD's. The NTFS is more advance & dosen't have these limitations.

To format in NTFS do the following:-
You can convert your pen drive as you convert hard disk partitions from fat to ntfs.

Plug in your USB drive.
Open command prompt. In command prompt window type:

" convert drive_letter: /fs : ntfs"
Without quotes
eg : convert I: /fs : ntfs

Another Method:

Plug in your USB drive.
Right click on the icon of your pendrive in my computer select Properties.
Go to hardware tab.
Select your pen drive & click properties button below. Select Policies tab.
Select Optimize For Performance.
Now again click ur pen drive icon in my computer.
Select Format.
Click on File System Box.
& you can select NTFS & format your pen drive.