You need to CREATE it in the registry.
How to erase a write-protected USB drive in the Registry using Regedit.exe
In any version of Windows from XP onwards, run Regedit.exe (searching regedit will usually show the program at the top of the list).
Navigate to the following key:
Double-click on the WriteProtect value in the right-hand pane of Regedit.exe. Change the Value data from 1 to 0 and click OK to save the change. Close Regedit and restart your computer. Connect your USB drive again, and you should find it is no longer write protected. You can now format the drive as normal by right-clicking on it in My Computer and choosing Format.
If you can’t find StorageDevicePolicies, you can try creating a key by right-clicking in the white space in the Control folder and choosing New -> Key and carefully entering the name.
Now double-click on the new key (folder) and right-click once again and choose New -> DWORD. Name it WriteProtect and set its value to 0. Click OK, exit Regedit and reboot your computer.
Name the new key exactly
This is another way to get to the drive so you can write to it.
Removing write-protection using Diskpart
With your USB drive plugged in, launch a command prompt. Do this by searching for cmd.exe in the Start menu (or Start screen in Windows 8). In Windows XP, click Start then Run, and type cmd.exe in the box.
NOTE: you may need to run Cmd.exe with administrator privileges if you see an “access is denied” message.
To do that, right-click on the shortcut and choose Run as administrator. In Windows 8, simply choose Command prompt (admin).
Now, type the following, pressing Enter after each command:
select disk x (where x is the number of your USB flash drive – use the capacity to work out which one it is)
attributes disk clear read only
create partition primary
format fs=fat32 (you can swap fat32 for ntfs if you only need to use the drive with Windows computers)
At least after formatting you can use the drive again.
Here is a whole to do step by step to get your drive back.