Presumably you have a C drive, which has been partitioned to create Drive D.
E would be your CD/DVD drive.
Your USB Drive takes next available alphabetical letter which is F.
If that is in My Computer window, I would assume it has been recognised but will not say it is a USB connected drive. If you are running XP, do you have a Safely remove Hardware icon in notification tray? If you do, click it and if it says Safele remove USB Mass storage device Drive F, that confirms it.