[Wine] Formatting USB memory device.

[Unstable]

I recently deleted my boot camp partition, typically I'm in a situation where I would like to run a .exe file.

a brand new USB pen I bought will not let me write files or format it. Only allowing me to read it. 

It's a 16gb HP model that I think has been manufactured by PNY electronics. 
I have discovered an exe. from PNY that people in other forums claim can re-format the device.

I have tried Wine but feel hesitant. I don't want to re format my Mac. The program it loads doesn't seem very functional. The drop down menu in the program doesn't show any drives. 

Any advice would be greatly appreciated. I could just use a windows computer to try to fix the USB stick but would like to achieve this using Wine.