Try the command prompt...

Goto start then click run (Hoping you don't have Vista/7 as Microsoft in there wisdom removed this from the start menu unlike all previous versions of Windows and you have to turn it on) Windows + R=Shortcut

In the run dialogue box type "cmd" (Without the quotations) this will launch a box with a black background and white writing, type E: and press enter (Where E: the letter applicable for your device)

Then type "chkdsk /f" again without quotations.

Again this will only work if you don't have Vista/7 as you then need "Run as Administrator") at least you do for the hard drive can't remember for additional drives but thats a different story, so let me know if you do have either of these as your OS.

Martin