Unless the USB can handle a huge file, like a movie file, it won't work.
Just simply insert your usb drive to the computer then it you will see in "My Computer" the assigned drive letter for your drive. Open it then copy the movie from your compter's local drive and paste it on your USB.
Just be sure that your USB has enough space to save it.
Other people asked questions on various topics, and are still waiting for answer. Would be great if you can take a sec and answer them