How to remove a flash drive cd?

I got a flash drive that my school gave out. Every time you plug it in a little game pops up. It really bugs. There is nothing on the drive but when i plug it in the flash drive comes up as "J" and then a cd loads that is "i" and then the game starts. I cant figure out how to delete the cd so it wont come up every time i plug it in. And i have XP if that helps. When i open the CD to try and delete the files, it says they are read only and in the properties when i try and uncheck read only it doenst let me, it says access is denied. When i plug the flash drive in. It also boots a virtual cd that then pops up with the game. I cant delete anything on the virtual CD
 
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