Memory sticks with space give 'not enough space' error if I try to add data

This must be a known issue, but I can't find it on any searches.
I have been trying to copy photos from a desktop folder onto 1 GByte memory sticks. I've tried 3 sticks and in each case when I try to copy data I get an error message: "The item "DSCF0204.jpg" cannot be copied because there is not enough free space" or similar.
I've tried copying the data in smaller batches and find I can copy photos until the 'not enough free space' message appears. In the case I have on the before me know, the info window for the memory stick says it has 816.3 MB of free space - which fits with the number of photos added. The picture I am trying to add is 1.2 MB and is not corrupted. I got the same error trying to save a document from Word.
As I say, I've had the same problem with 3 memory sticks.
I also have a problem when it comes to burning discs - they won't burn. I can't remember the error message off hand, but perhaps there is a link with something wrong in the file copying procedure.
My hard drive has 6.16 GB of available space.
Any ideas or pointers to threads where this has come up greatly appreciated.

Hi eww,
I was meaning 'memory stick' in the generic sense, not the TM sense.
The format of the one I'm experimenting on was FAT 16.
Following your reformatting advice, I opened the disc utility. This showed the device as MS-DOS FILE format, with a volume in FAT 16 format. A test showed no problems with the device. I did an erase of the volume, setting the format to MAC OS Extended.
Good news: I was able to copy all the photos onto the device. Bad news: I put it onto a Windows XP laptop and when I tried to open it I got a message saying: "You must format this device before you can use it."
As I'm wanting to take the photos to a store that will most likely have a Windows machine this is a problem!
I reformatted it on the Windows laptop to FAT 32. Plugging back into my powerbook and it appears on the desktop, but not in a Finder window. Disk utility now shows the volume to also be in MS DOS FILE format.
Good news: I am able to copy all files onto it. More good news: It also opens on the PC! Bad news: Just this thing of it not appearing in a Finder window with an eject icon next to it - though it is on the desktop.
So formatting to FAT 32 on a Windows XP has solved my immediate problem.
When I have a bit more time, I'll see if I can find out if any of the other MAC formatting options both allow me to save data on the MAC and open the device on a Windows machine.

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