ouch, ys you are certainly messing things upp. you have to unmount the drive before removing it, rightclick the icon and choose unmount.
EDIT
you must close all windows asosiated with the device r you will get an error message
/EDIT
to recap you have to mount it in linux before transfering files to it AND unmount before removing it, but that is fairly simple (rightclick on the icon and choose mount or unmount acording to what you want to do).

qtparted is a tool or formatting and making filesystems on disks.

if I was you I would go the burner route.
an internal burner can be had for under 40euro and external for about 55. they can be viewed as an investment for backing up (saving you this in future)
k3b supports most usb burners and almost all internal ones, iomega, samsung NEC and plextor have all worked beutifully for me on the USB-external front (the plextor is an old CD burner) and only one has NOT worked internally, old LG CD-r burner.
EDIT2
you may have to reboot to fix the problem of the shrinking USBpen, there are other ways but for a beginner this is simplet i think.
/EDIT2