PNY thumb drive problem

For about 6 months now I have been using a PNY usb thumb drive and
since the beginning I have been running into the problem of installing
new software on my computer, let me explain.
The PNY was assigned the drive letter M, and whenever it is not
plugged in the usb port and I want to install new software I get an
error:
Invalid Drive M:

When it is plugged in it is not a problem and I have noticed that the
drive shows as the only Active one in the XP's computer manger, do
not know if that has something to do with it.
I'm wondering if anybody has had similar problems with usb thumb
drives and knows a solution to it. Oh, by the way I just did my yearly
fresh install of windows xp pro, and that did not help.
Thanks for all your help.