USB drives support two basic formats: floppy drive and hard drive. A USB floppy drive consists of one large formatted drive. In contrast USB hard drives contain partition tables and one or more formatted partitions. If you purchased a thumb drive and never formatted it, then it is most likely configured as a USB hard drive with one large partition.
Before formatting or partitioning any device, be sure the device is not mounted! Use the mount command (without any parameters) to see if it is mounted, and then use umount to unmount any partitions. For example, to unmount /dev/sdc1 mounted at /media/usbdrive, you can use sudo umount /dev/sdc1 or sudo umount /media/usbdrive.