I studied briefly for a master's degree in economics at Boise State University, USA. After 4 weeks of first semester, I decided to drop all of my enrolled course because this program is not right for me at all. Consequently, I would like to ask you folks whether I should refer this incident in CV or SOP when I apply for master's degree in another university in the future, 3-4 years from now? For example applying MBA program in UK.
It is possible that Boise State hasn't kept a record of your attendance if it was so short. Request a transcript from them before you make any decisions. If they have no record then you need not mention it in future. But if there is a record then it might depend on what the record says. If there is a grade assigned (incomplete or whatever), then it might be necessary to state it somewhere, though I doubt that the CV is the correct place. If the incident was brief and inconsequential, then your mention of it should also be brief.
If the time period represents a gap in your education/work life it might be more necessary to mention it. However, I doubt that anyone would hold a brief mistake made in the past against you in any way.