I have a 4gb stick and cannot delete or transfer photos on it.

What brand is it?

Have you looked at the properties of the files on it? Have you tried to manually change them?

Recently I tried wiping files from a flash drive adapter for a cameras SDHC card and it refused (though I could copy them to my hard drive). I figured it out later. When I first plugged the drive in I got a window that asked what I wanted to do and I selected "view files". The window that popped up to view the files would not let me delete them but if I closed it and then looked at the drive in Windows Explorer where it had a drive letter ("H" I think) then I could delete the files from there. You might try that and see what happens. Is it a 4gig flash drive or Camera card in an adapter or Camera card in the Camera?