It says insert disk in drive E---What does this mean?

Basicly my USB pen was working one day then when I went to use it the next day, when I tried to say some files to it, a pop up box said -PLEASE INSERT DISK IN DRIVE E-does anybody have a solution for this?

I don't know much about it, it was bought for me new:
Its 256MB USB flash memory stick
[IMG]http://img.photobucket.com/albums/v713/Kin_chan/b9_1_b.jpg[/IMG]

please help

Jerusha
Kin_chan@goowy.com