OK, we are thinking of normal consumer pendrives. Now I read some meaning in what you said
" a software company sent me a program on a USB pendrive"
It could be that it is copy-protected and not formattable too.
( I certainly remember having read somewhere that Secure Digital card specifications include some sort of copy protection too ( and that is why secure) but that is not normally implemented in the consumer cards. There are firms which specialise in copy protecting the media for software authors. Anti-piracy | Copy-Protection | Software-Protection | Piracy-Protection