I'm not sure if it's advisable to save Word files directly to a USB stick. I
think there's still a discussion going on (saving directly to floppy disks
can cause some trouble, so don't do it), so for the time being, I'd
recommend saving your files on the hard disk first and only then
transferring them from the HD to the USB stick. And if you want to work on
those files on your Mac, transfer them to your hard disk first, and move
them back to your USB stick when you're done working on them.
Assuming that it's a recent PC, with Windows 2000 or XP, simply connect your
USB stick to it, and it should appear as an external drive. Drag your file
on the icon that shows up in the My Computer window, and it should be on
there. Eject the stick by right-clicking on the icon that shows up in the
toolbar on the lower right corner. On your Mac (again, assuming that it's a
recent Mac, preferably running OS X), plug it in, and it should show up as
an external drive in the Finder. Drag the file to a location of your choice,
work on it, save it, and then drag it back to the external drive. Unmount
the drive by dragging it into the Trash.
I hope this answered your question. You don't give many details (version of
Word used, versions of both Mac and Windows OS) so this answer was fairly
general. If you're still unsure, post back.
Michel
PS: I've just realised that I've written USB stick instead of flash card,
but the procedure is the same.