I have the same problem. It is an SD card which came with some pre-loaded stuff. I have deleted the files but they keep returning. I have tried active killdisc, but that won't work either. Windows goes through the format procedure but craps out at the end.
If writing on the SD memory card, you should turn off the write protect lock by pressing the small switch backward or There's a small slider on the top left of the card. Just move it to the top position.