You don't specify which version of Windoze you are using - if you're using Win 98 you will have needed to laod a driver (and it appears that every single memory stick needs a different driver!)
But assuming that you're using something more recent than Win 98, it might be worthwhile seeing if there is a more recent driver recommended for your stick.
From memory, go to Control Panel => System => Hardware => Device Manager -- Find your stick (under the USB devices tab), double click on it, select the "driver" tab, then select "update driver", then "search for a driver", then unclick everything except "Microsoft Windows Update" and make sure you are logged on, then let it look and see whether there's a better driver.
Another little hint - always plug the stick into the same port (ie. if you originally plugged it into a port expander, don't then plug it into a port at the back of the computer). Some of these little buggers get very pedantic if you plug 'em in where they haven't been plugged in before. Dunno why - but my observation is that some USB devices are not quite as Universal as the manufacturers would have you believe!