What options are used for mounting the thumbdrive. If you use "uid=<yourusername>" and/or an fmask value that give you or "others" write permissions, you should be able to delete files unless you mounted it with the ro option. Another possibility is that there is a problem with the filesystem and so it was mounted read-only instead of read-write.
If the thumbdrive was automounted, right-click on the drive icon and select Properties -> Permissions.
For write access to an ntfs formatted filesystem, make sure you have "fuse", "ntfs-3g" packages installed. Modprobe the "fuse" module and use "ntfs-3g" to mount the partition instead of "ntfs".
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