I'm assuming you're referring to VirusScan USB (or whatever they call it these days).
As the error message indicates, this software can only be installed on USB sticks that are formatted according to the U3 standard. (Basically, it's a form of bootable USB stick).
You can purchase U3 USB sticks. Maybe it's also possible to format a USB stick yourself, and make it U3 compatible - I cannot make out for sure on the Wikipedia page if this is so. The Wikipedia page does give a link to a Launchpad Installer by Sandisk. http://en.wikipedia.org/wiki/U3