I want a software which acts as a Firewall for pen drives.
Protect USB stick from viruses
Panda USB Vaccine
USB Condoms to protect PCs from Virus Infections
Naevius USB Antivirus
The biggest security percussion is to disable the "autorun" file. The autorun file manages which files should be executed once the drive is mounted. If a virus were on the USB drive, but no autorun was present to launch the virus, you would have to manually execute the virus. Read more on how to disable the USB autorun.
Your systems should also have an anti-virus that scans newly mounted drives automatically. This article covers just about everything you need to know about USB drive security.