My USB stick has thrown a corrupt file at me. Luckily it's only one file, and after failing to delete the folder it was in, I just renamed the folder and reinstalled the app. Hopefully in this way I can delay reformatting the stick and reinstalling from a complete backup for a few days (though I plan to do so).
However, when I come to do my next backup, will it crash out when it hits the corrupt file, or will it skip it and continue to backup everything else?
Use Windows built in utility to check the drive for logical errors. Fix em. Then delete any corrupted files.
If there's no reason for this (unsafe eject, shorted USB port, etc) or it has happened more than once, you should be vigilant about backing up as your drive may be about to fail.
Sometimes, the impossible can become possible, if you're awesome!