Can't Delete From USB  

I was transferring a video file from my USB to my netbook when I decided to open another file from the USB at the same time. That froze the transfer. I tried to cancel the transfer but it just said cancelling and still seemed frozen. The safely remove hardware thing wasn't working because the USB was still in use, so I pulled the USB out. I then put the USB back in and transferred the video file successfully to my laptop.

Now when I try to delete the file, it won't let me. In fact, it won't let me delete any files from the USB. I've tried on two computers both running Windows 7 Ultimate 32bit and it's always the same. The USB file disappears from my screen. I get an error message saying that the destination I have specified no longer exists and that I should try again, which I have done to no avail. I also get several autoplay windows, normally I would get ONE of those when I put the USB into the computer. For some reason, now I get three or more.

I have tried formatting the drive, checking for errors and defragmenting. None of these have worked. What else can I do?

To clarify, I don't want to save the data. I want to delete it. Formatting doesn't seem to work for some reason. It's as if every time I try to delete anything the USB makes the computer think it is disconnected, so the file can't be deleted, and then reconnected.