Some Antivirus software can be loaded onto U3 pen drives. eg:
http://www.avast.com/eng/avast-u3.html
The mechanical lock tends to fail, hence they have been removed from entry level drives.
One tip: Before plugging in your pen drive, depress the "shift" key. This prevents "auto run" on Windows Xp and hence some malware is prevented from spreading.
You might also like to use Comodo Firewall with defence+ activated for extra protection. Every executible will be stopped and you will be prompted for permission. So as long as you dont accidently allow malware to run, they will be blocked.
