They're in the hidden Trash folder on the memory stick. You'll need to plug the stick in. Once it's plugged back in, there are several ways you can deal with them.
Get Info on each, and unlock them. Empty Trash should work afterwards.
If you want them out of the Trash, drag the files to another location on the memory stick. If you drag them to your Desktop (which is located on your boot drive) it will only make copies of the files, leaving the originals where they are.
Or you can get rid of them the quick way. Force Empty the Trash while the memory stick is plugged in - hold down Option while giving the empty command. You could also try a secure delete by holding down Command while giving the empty trash command.
If those don't work, have Disk Utility do a quick check of the memory stick. If no problems are found and the files still won't go away, you can either reformat the memory stick or use a Terminal command to delete them.