If the usb stick is formatted for Windows, then the file system will be in ntfs (new technology file system). This is totally incompatible with Linux. However, sometimes when you "safely remove" from a windows machine, it doesn't always stop all the services properly (gee go figure). No worries, if this is the case, then all you need to do is simply hookup to another windows machine, and "safely remove" again. If this still does not resolve the issue, you may have to "eject" then "safely remove" or a separate combination of the two. If the problem persists, the yes, Alex would be right in that you would have to re-format the stick.
Hope this helps.
-Komputor
2007 Toshiba Satellite LS
Dual Boot Vista / Elive 2.0
Everything is possible, just put your mind to it!