During my experiments I did say YES but only once and bad move on that. Just say No!
They don't mention that.
The other quirk was using the HP tool to format. Originally I chose FAT and it didn't work. Then I chose FAT 32 and it was worse. Go figure? Finally I did it again and chose FAT and things worked. Took me about two attempts using the same method but the little thing works just fine.
Remember it is limited as in you can't make changes but it works quite well. There were links for the more complex methods in this thread.
I'll give you 10:1 that the pen drive is bad. Hope you get things going with a new drive. Let us know.