I have 4gb pendrive and it is showing write protection message

Try to format in other operating system like windows vista ,windows 7 but not in windows xp

Check in your system if you have wrongly enabled the write protection for your system. for this to remove follow these steps Go to Start--> Run and type regedit. open it and then press Ctrl+F , in that type WriteProtect , this will search the write protect string in the registry editor and then if u can notice the write protect DWORD value , Double Click it and then Modify the Value from 1 to 0. This will solve your problem.

Is there a switch on the pendrive that has a lock symbol on it? If so ensure it is in the unlocked position.