If we assume that the flash drive is 100% healthy, could it be that (knowingly or unknowingly) you are trying to reformat it in NTFS format?
If you want it to be NTFS you cannot use the standard Format shortcut. You have a couple of options, that I am aware of. Either you can open a command prompt window and use the Convert command (which will preserve your data) or, if you go to the HP website, you can download a free utility which will format flash drives as NTFS.