I'm glad that you asked this question. I have a Lexar 64 Mb Jump Drive (USB 1.1), today had a file get "stuck" on it - could not delete the file or do anything else with it (tried 3 different computers, two with Windows 2000, one with Windows 98SE). I could add and remove other files as usual, just not this one. Inserted the Jump Drive into the USB port of a computer (Windows 2000) and went to Jump Drive with a right click in Windows Explorer. As Blujacket says format was shown as FAT. Clicked "Format" on the menu, then said "yes" - I really want to do this. In about 2 seconds the Jump Drive was "wiped clean" and reformatted (FAT). It is now working just fine.
I thought it would work, have done this with Compact Flash Cards on occasion and used them as a substitute for a Jump Drive.