Can't remove malware from USB memory stick

Hi guys! I own a MacBook Pro 2009 Alu Version (still Leopard) and a SanDisk cruzer micro 8 GB memory stick. Yesterday I had to give a presentation at uni, and it looks like I 'contracted' some sort of malware/virus from the uni's (Windows) computer, when I plugged in my USB stick. There's now a folder on there called ZLATO containing a file named 'suvo.exe'. I wasn't able to delete this the usual way and running Sophos confirmed my suspicions.

Now, Sophos is telling me to restart my computer to 'clean up the threat', but even though I've done that, it still won't let me remove the file.

I love my USB stick and have been using it for years, never had any trouble. Do you think I should reformat it or could that damage the stick (I've heard some flash drives aren't supposed to be reformatted, but I really have no knowledge of this)...

Anyway. Any helpful advice would be welcome, because I don't fancy spreading this thing any further.

Thanks in advance!

Thanks for your answers, I reformatted the stick and all seems well.

@GGJstudios: I wasn't worried about my Mac, I was primarily worried about carrying that thing onto other (Windows) computers I would connect my USB stick to. Not really necessary, is it?

Yeah, I know there haven't been any Mac viruses out there yet, I've actually never had an anti virus programme installed in the four years I've been using Mac. But since I couldn't get rid of the files, I thought Sophos may do the trick. Well, turns out it didn't. Thanks for the link though, will definitely check it out.