I'm not sure this has anything to do with Microsoft Office (the topic of
this forum), but...
When you put the USB drive into your computer, it will show up in My
Computer (assuming you're using a PC) as a "removable drive".
When you download, you can then select the removable drive as the
destination to save the file, or save the file to you desktop and then go
into My Computer and drag it over to the "removable drive".
If that doesn't help, you might want to post to a Windows forum (assuming
you're using Windows).