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Can you open the Mac HDD icon then click applications then Utilities, From there can you click the Disk Utility to open it.
Once it opens can you choose the memory stick from the left hand column then click on the Erase tab and choose MS-DOS File System from the Volume Format drop down menu and click on the Erase button.
That will then format the stick so it can be used in any Mac or PC.
Try that and let me know if you have any issues