How do I delete a file from my USB Stick

I have a new MacBook Pro with retina display.
I have just put in my USB flash drive which contains some movies (MP4 format).
I am unable to even move the files to the trash.
When I "double click" I only get options to open/ create alias etc
When I hold down CMD and DELETE I get nothing.
How do I delete a simple file from my USB stick??
Thanks

Hi,
Thanks for the reply.
Just to re-iterate...for some reason my Macbook doesn't seem to be providing enough power to the EHD through the USB ports.
So in recap.
1. Is there anyway to get more power to my USB port to power the EHD
2. If not, how do I transfer my contents of my EHD to my Macbook without wiping the EHD first
thanks

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