Cannot copy from MAC to Pendrive
The drive is probably NTFS, and OS X can't write to that. Either reformat it as FAT32/ExFAT using Disk Utility, or use an app like http://www.tuxera.com/products/tuxera-ntfs-for-mac/. 

The current top-rated answer is incorrect about OS X not being able to write to FAT32 partitions.