The drive is probably formatted as NTFS (default Win file system). Without additional software, Mac OS X can only read NTFS. You need to re-format the flash drive with Disk Utility. If you’re only going to use it with Macs, format it as JHFS+ (Mac OS Extended Journaled). If you’re going to use it with Macs and PCs, format it as FAT32 (MS-DOS FAT). Formatting it will destroy all data presently on the drive, so back it up first.