I have N72.
Well, N72 can be used to transfer data from one place to another, but I won't say it exactly work like a pen drive.
For first every time you connect it to a new PC, you will need to install drivers for it. And Nokia PC Suite too(Optional). For that you always have to keep driver CD with you.
There isn't any other short way. Installation of drivers is necessary.
Application on a phone to do this is not possible..because its your PC that must be able to detect your Mobile.
You can do what I did...
I installed Nokia Drivers and PC Suite in computers of my every friend, (They are allready installed in my college.
)
So whenever I need to transfer data I have to just plug my mobile.
What my another friend did is, He bought a Card Reader..(150 rupees), and whenever he need to transfer data he take out his memory card, insert it in card reader, and use card reader as a Pen Drive.
Offtopic : Recently I got a chance of testing N70ME and 5500. N70 was a dazzling new phone. But when I tested it, I found it slower then my N72. Strange.
But 5500 was cool looking and fast. Really liked it. Yet to test 5700.