Two ways to handle this problem:

1. Always do an "eject hardware" before removing the memory stick. The problem is that by default, XP will not always do an immediate write to the drive so if you remove it before the actual write, the data will not get written.

2. When you install the memory stick, go to control panel, settings, then select your memory stick and go to the "policies" tab. You will see a radio button for "optimize for performance" and one for "optimize for quick removal". If you check the "optimize for quick removal", then step number 1 above will not be necessary as XP will do an immediate write when you store the data.