What operating system are you using?
With XP, when you plug in the USB drive for the first time you should (after a few seconds) get a pop-up saying 'windows has found new hardware and is installing....' followed by 'your new hardware is ready to use'.
When you open windows explorer or 'my comp' (in win98) you will see the new drive listed as a removable storage drive. Remember to refresh (F5) the view if you look for the drive before it's had a chance to load. In your case it will be listed as drive E and you can drag/drop files into it or 'right click' the files and select 'send to.....'