|Are you using the 'Safely remove hardware' icon in the lower right corner of your screen? If not, that could be the reason that you now have a problem with your USB stick.|
You should have backups of all your valuable files.
FWIW to XP users: When you click on the 'Command Prompt' you are just causing the 'Command prompt' to be displayed. This prompt gives you access to NTVDM.EXE, the 'NT Virtual DOS Manager'.