There is not a straight answer to your question. Multiple methods of removing write protection exist.
Many USB Pen/Flash drives have a switch built onto the unit which can be toggled to turn on or off the write protection. You can see a picture of a Flash Drive with a lock here: http://www.imation-southasia.com/about_imation/newsroom/Flash_drive.html
If your unit has a lock switch - make sure it is in the correct position to allow writing.
Other methods to bypass write protection include formatting the drive. In Windows, you can open Computer (Or My Computer in XP) and right-click on the drive letter representing the flash drive and choose Format. Formatting the drive will erase the information on the drive, but it will render it back to a state that should allow you to write files to the flash drive.
Another scenario to be aware of is that some Flash drives may not allow you to write to them if they were originally formatted with a file system that is not supported by the operating system you are currently using. For example, some flash drives formatted a specific way in Windows may not be able to be written to to when you insert the drive into a Mac computer.
A last resort may be to try the unlocking software Unlocker. You can find this software here: http://www.filehippo.com/download_unlocker/
This software may allow you to unlock certain files one at a time - but it may not unlock the entire drive. It's hit or miss.
Finally - if the USB Key you are trying to unlock was locked by encryption software such as DUSK or TrueCrypt, or manufacturer locking, the only way to unlock it would be to format the drive, thus erasing the data.