|.fat is not a file type. FAT is a type of partition formatting. |
You need to delete any partition on the memory stick and then make a new partition. Then FORMAT the partition using FAT or FAT 32, depending on the capacity of the partition.
You should copy any file currently on the memory stick to your computer. Deleting and reformatting will erase any current files. After you do the above, you can copy your .jpg files to the memory stick.