I have seen a lot of usb thumbdrives with viruses lately, even cards from cameras and mp3 players. When you insert a new drive windows will pop up a message with stuff you can do (play, open, etc). If you have the slightest suspicion of infection click cancel.
Most of the times, when the drive is infected some of the icons will look weird: Unknow program type icons, two open folder to view files entries, and so on. So, any of those show up, or you have used your stick on a suspect computer (or a public terminal) you probably have a virus. So, click cancel. If there’s nothing you need on the stick stop right here. Just go to my computer, right click on the drive and format it. The virus, along with all your files will be gone.
If you need the files it’s going to be a little trickyer:
Go to My computer. Right click on the problem disk and choose explore. NOT open, run or anything else. Make sure windows is set to show hidden and system files. DELETE the following file and folders:
autorun.inf, RECYCLED, RECYCLER, and any other suspicious file or folder it is not yours. Be careful not to run or launch anything.
Done, all clean.