I had the same problem once.
I had inserted the drive, and Windows allocated the drive letter G: to it.
A few weeks later, I added a new hard drive which I set to be drive G:, but when I subsequently inserted the pendrive, it didn't get a drive letter (as the former G was now used by something else.).
To fix it, go to disk management (diskmgmt.msc from cmd prompt) and look for the removable device. Right-click and assign a new drive letter.