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if any of latest version of a good antivirus can not delete this virus ; i think you should format your windows.

i think your os is attack by a virus which causes the folder option to disapper ; i fill you should scan your hard drive with a latest version of antivirus.

by right clicking on the the drive icon you can find a format option .
i think it is better to format your pendrive with fat32 because fat32 has little advantage over fat file system