I Agree with that fact that it could be dead, but it is almost acting as if it was not mounted or dismounted properly from the systems USB port. If the system hasn't yet been rebooted, I would removethe pen drive and reboot the system, then after all services are up and running plug the pen drive in and see if you can access it now.
Also agree with trying it on another system, BUT Beware.... Viruses can travel on these pen drives and if your pen drive is infected you could spread the problem.
I have also seen where Windows 2000 Pro is buggy with some pen drives, especially if it is not SP4. And if Windows 98 or Me that opens another can of worms or problems with the pen drives from my experiences.