Scan your pendrive for virus and most probably you will be able to retrieve the data.
Also, if you right click your pen drive, sometimes you will find an option of 'Open With' or Open using Windows Explorer (not sure about the exact option but find something related to Windows explorer). Once your pen drive opens, copy all the contents from your pen drive and format your pen drive.
Just right click on your removable disk and click explore.
Than copy the contents. Before selecting the contents select all the files individually. Than format the pendrive.
It seems your pen drive as well as your PC is affected by a virus which is not permitting you to open by just clicking on it.
To view or copy the content inside your pen drive you have to Right Click on the pendrive and select explore.
Take the backup of your pendrive by copying these files in your hard disk, but it will be better to scan your computer with latest antivirus with latest virus definition I prefer you to download trial version of kaspersky from http://www.kaspersky.com
and scan your PC to make it virus free.