Normally Windows will identify your USB drive as a removable media. To be able to partition your USB drive, you need to clip the removable bit. In order to do that, you may use Lexar USB Flip. Eventhough it is developed solely for Lexar thumb drives, according to people at PenDriveApps, they have successfully partition other brands of USB drives.
Click the ‘Flip Removable Bit’ button if you want to have multiple partitions on your USB drive. According to gHacks you need to remove the drive and connect it again to your PC.
As usual, before trying Lexar USB Flip, PLEASE BACKUP your thumb drive.
Download the software here. ( via PenDriveApps )