I assume that you don't need to securely delete the data (as you might if you'd got sensitive financial information stored on the memory stick and you were worried that someone could get hold of it and use file recovery software to see what used to be there). With that assumption then (and also assuming that you want to delete everything on the stick, and not just...
Click Windows button and scroll down to Windows System and click on that. Should give you a menu with 'This PC', right click on 'This pc' and select 'pin to taskbar'