I cannot remove x.exe file from my flash drive

I use Windows XP SP2 as my operating system on my PC. I used my pen drive on my friends PC a few days ago. When I inserted that flash drive on my PC, it shows a hidden file like x.exe. Even after I removed it, it automatically adds in my flash drive.
What is this file? It’s not any of my necessary files. Is it a virus? How can I solve this problem?
