My HP c500w USB stick always failed the data loss test but after a bit of tinkering I found there is a way around it.
Put the drive in your PC and make sure it is empty of anything you want to keep.
Right click on the drive in Explorer and pick Properties. Then select the hardware tab.
Here find the name of the drive, highlight it and then click on the Properties button.
On the next screen pick the Policies tab and pick the option Optimise for Performance. Click OK and exit.
Now back in Explorer. Right click the drive again and pick Format, making sure to do it as FAT32.
With the drive formatted put it in your Xbox 360 and it should now be able to be configured for 360 memory.
A word of warning though, mine at least says that while it is configured I may experience slow loading times when trying to play games off it. So not a perfect work around but useful enough if you just want to pop your profile on a stick to use at a friends house.