chgrp not permitted?

[Robert Holtzman]

Running "sudo chgrp <name> mail" on a directory on a usb stick gives

"chgrp: changing group of `mail': Operation not permitted"

This is true for any file or directory on the stick, and yes, I entered 
the password. I can't figure out how to copy to the stick without the 
group being changed to root or how to change it after the fact.
cp -p test1 /media/disk doesn't do it and

cp -preserve=mode,ownership,group,timestamp test1 /media/disk gives

"cp: invalid option -- e"

I have to be doing something wrong but I'm not sure what. Google and 
Ubuntu forums were no help but I may be searching on the wrong terms.

Any help appreciated. Thanks.

-- 
Bob Holtzman
"If you think you're getting free lunch,
  check the price of the beer"