My own connection here is currently via a Sony Ericsson MD300 USB broadband which like others of it's type also doubles as a flash drive, although with a 169MB total capacity it's not much use for storing movies on!
In this respect yes it can get infected and I've not yet found any USB specific security software which doesn't at some point cause a problem. I prefer to leave mine alone and just choose this drive for an extra scan or two. Programs like Panda Cloud, Malwarebytes and others offer this from a right click menu so it's very easy to scan it separately now and again. I've never found anything on it.