You have to make it a "fixed disk" first, that is make it act like a normal hard drive. Instructions for winxp: http://www.prime-expert.com/articles/a05/enabling-multiple-partitions-on-removable-usb-storage-devices.php
Similar instructions exist for linux:
http://askubuntu.com/questions/101637/usb-turn-write-protection-offhttps://askubuntu.com/questions/101637/usb-turn-write-protection-off
