I've tried to look into this myself a while ago, as i got sick of getting virus's on my usb stick from customers pc's I didnt turn up much. It looks like the best way is to just get a thumb drive that has a lock switch on the side.
Set the key HKEY_LOCAL_MACHINE\System\CurrentControlSet\Control\StorageDevicePolicies\WriteProtect to 1 to weite protect or 0 to allow writing. You have to remove/reinsert the USB drive for it to take effect.