Problem in opening flash drives

I recently plugged in my USB flashdrive on a computer at an internet shop and it worked well. When I was about to use it on my desktop at home, a dialogue box appeared which says something like "The flashdrive on disk E is not formatted. Do you want to format it now?" What could be the problem? Do I really need to format my flashdrive? I don't want to lose the data I have saved in my storage device.
