You cant change them back, that info is lost, but you can stop it happening in future.

That drive is probably formatted as FAT or FAT32. FAT was designed for DOS and used on Win9x, so like them, it doesnt support long-filenames. Most drives ship like this though, as it has the bets support between different operating systems. Unusual in your case though, as normally higher capacity drives arent.

If you only intend to use that drive with windows XP or above, then reformat it as NTFS (remember this will wipe it!) which is more efficient and preserves both filenames and file permissions

Hmm... I guess I will have to try that.

But, would I have to do the same thing to all USB drives when I first get them?

Also, I have a USB drive that can hold photo memory cards. Will formatting the cards before prevent what is happening with the other USBs? Or would I have to format the USB device that holds the memory cards?

Well, as i said, it depends. SD cards etc... should be kept as FAT, as cameras dont support any other filesystem.

http://en.wikipedia.org/wiki/Long_filename