You can do this by partitioning your usb drive.
The structure that stores all your files on a disk is called the filesystem and there is nothing preventing you from putting more than one on a single physical disk.
I only ever do this on Linux using GParted, but I found a Windows alternative here: http://www.disk-partition.com/free-partition-manager.html
Be careful to back up your files beforehand and make sure you are editing the right device.
Shrink the big partition on your usb drive from the right, creating an empty space on your disk.
Create a new partition (fat32 if it asks) in the unused space.
Also remember to try and avoid moving the left side of a filesystem. This can take hours to complete, whereas moving the right side should take a couple of minutes at most.