Mac OS X default file system is HFS (It also supports FAT 32 file system). If you connect a Pen Drive which is formatted in NTFS format, Mac detects it as a disk. You can read files from disk, but you can not write into it. So if you try to copy some files from Mac to Pen Drive it will not work. To do that, format the Pen Drive in FAT 32 format. Then Mac recognizes it as a hard drive. Now you can drag files from Mac to Pen Drive.
In Mac OS X, everything is complicated. Not as easy as in windows. In Windows if you copy files from NTFS formatted drive to FAT 32 drive, it automatically converts from one format to other. But it takes extra space to store those format conversion details.