Yup we can, Right Click on
My Computer, Then Menu Iteam
Manage
*img14.imgspot.com/u/07/161/14/01.JPG
Now there use the Left pane to Navigate to
Disk Managment there right click on the Drive which is ur Pen Drive to carry out any task u want...
*img14.imgspot.com/u/07/161/14/02.JPG
Also there are many 3rd party tool available, how ever I preffer this one
unless there any problem !!!