It's just how the error message goes. It means that particular entry is no longer correct. It can mean a program read the directory entry for a file, but the file was deleted before the program could read the file itself. It can also mean that you deleted the file, but something went wrong updating the entry for it (removed the stick early, disconnect due to loose connection, power outage, etc.). It may or may not be the sign of a bad sector that hit at just the wrong place. It's up to you whether to run fsck to correct the problem. You may want to run forensic tools to find or recover that file before using fsck, maybe not. If you didn't want that file, tinker with e2fsck, maybe read the man page for e2fsck to see if you want to try the safer options like -n and -p first.
This a moment to ask, "Do you have a backup?" Because I don't know for sure what caused the first bad entry, I don't know what a full fsck run will do, either. It might correct that one entry and be done, it might send one full directory to /lost+found. Read the e2fsck man page first, and if you agree with my assesment of "-n", try `e2fsck -n drive_to_check` after that.