I've been seeing a lot of hits here for a utility from HP to format USB sticks to be bootable. I wrote about this utility in May 2005. However HP has moved the file to a new location - the utility folks are looking for is on the HP Download site.
The 1.9mb download is an executable setup program for a a Windows-based USB Stick Format Utility. The utility is meant to be able to create a bootable USB stick. However It looks like this feature does not work on all memory sticks. The HP site says it is only available on specific HP devices (Drive Key or DiskOnKey) when running on a range of Compaq desktop systems. But I ran the utility on a Dell laptop and used two old sticks I had lying around. I could format both sticks, but only one as bootable.