Format the memory stick first.
This is our resident iPhoto guru, Terence Devlin's, advice, which should also apply here:
You can move your iPhoto Library to an external disk:
1. Quit iPhoto
2. Copy the iPhoto Library Folder as an entity from your Pictures Folder to the External Disk.
3. Hold down the option (or alt) key while launching iPhoto. From the resulting menu select 'Choose Library' and navigate to the new location. From that point on this will be the default location of your library.
4. Test the library and when you're sure all is well, trash the one on your internal HD to free up space.
You can not put an iPhoto library on a memory stick unless it is formatted Mac OS extended (journaled). If it s formatted FAT (which it probably is) you simply can not pu an iPhoto library on it
To put photos on it select them in iPhoto and export to a desktop folder, mount the USB memory stick and drag the folder to it