its infected with a virus probably autorun.inf or sumthing of that sort, also, never allow ur pendrive to autorun also, never OPEN ur pendrive directly (by double clicking on it in My Computer) as this activates the autorun.inf virus and causes all the folders to either being named as "NEW FOLDER" or attach extensions to every doc as ".exe"
so, always EXPLORER ur pendrive to open it by clicking on windows icon+E (from the keyboard)
wat antivirus u use ?? if its NOD32 then it will detect the viruses in the pendrive and remove it automatically...
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Cheers n e-peace.....