Unfortunately there are currently a LOT of fake 2GB and 4GB USB sticks/keys floating around. If you bought your sticks off an online auction or a company you haven't traded with before I would suspect your sticks are fake and are not really 2GB or 4GB in size - sorry!
Basically some fraudsters in the far east have re-programmed smaller 512MB and 1GB USB sticks so that when you plug them into your PC/laptop they look larger than they really are. Until you try to store more than their REAL storage capacity you will not see a problem, but when you try to store say a 1.2GB file on what should be a 2GB stick (which is really only a 1GB one), you will find that it looks like it has saved the file OK, but when you go to read the data on the stick, there is only corrupted junk.
So that is the way to test if your stick really is the size it should be. Simply try writing a chunk of data to the stick which you know is definitely close to it's maximum capacity, and then read it back off the stick. (e.g. write 1.8GB of data to a 2GB stick). If all you can read back is junk then you have a fake stick, if you can read the files OK, then your stick is genuine and you have another problem.
The problem isn't just with unbranded generic sticks, several major brands have been faked as well (like Sony and Sandisk). Do a Google search for fake USB keys and I'm pretty sure you'll get quite a few hits. I also remember seeing somewhere that someone had put photos of real branded USB keys next to the fake ones so you could see the different lettering etc on the outside of the keys for identification. Unfortunately I can't remember where that was! Also the fake USB keys often don't come with the software CDs that you would normally get if the key was from the proper manufacturer. As far as I know this problem ONLY applies to USB keys that are 2GB or larger and not to any that are smaller than this. It also does not apply to other removable media like MMC, SD cards or Compact Flash disks etc (again as far as I know).
The simple answer is to ONLY buy the larger USB keys from well known companies or Ebayers local to your country. That way you can knock on their door easily if they sell you a fake....
Anyway I hope this helps (or not!)