Double click on pendrive then .exe will be run

A pen drive is a small electronic component. You cannot click on it. :-)

If you need to click on anything on screen which represents the pen drive's volume(s), it totally depend on what is it. In you code? Do yourself a favor, develop it. In a file manager using Shell like Explorer? Do yourself even greater favor, don't even think about it. This is intrusive behavior most experience users would rightfully consider unsafe.

Now, preventing copy-paste. I think you mean copy-paste method of Shell which is a "fancy" way to copy file. You see, your volumes on pen drive are no different from any other. You can do it only by using regular administration means, by setting permissions on file system object, using Properties/Security. Essentially, you would make your volume unreadable, which is hardly what you need. I won't advise you to do it.

—SA