The best way to backup files to the USB Drive is to open two windows.

Open the source (My Documents) and target (USB drive) in two separate windows on an empty Desktop. You may need to re-size each window so they fit as seen below in the example.

You can then select all files in the My Documents window by doing a Ctrl A; or Edit/Select All Files. Right click over the selected files (highlighted in blue or grey) and continue to hold the click down while you drag the files to the USB drive window (you will see a ghosted image of the files as you drag them). Once the mouse cursor is over the USB drive's window; release the right click. You will then get a small menu asking what you’d like to do with the files. Left click to select “Copy Here”. The files will copy to that destination (the USB drive).

If you have a large amount of documents on your Desktop; you can either right-click drag/drop these files to the Flash card window… or copy the entire “desktop” folder to your flash card…. The desktop folder is located in My Computer; Local C drive; Documents & Settings. Within the Documents & Settings folder is a folder named with the user’s username (i.e. CEGILBECK); and within this folder is a folder called “Desktop”…. Once you’ve browsed to this folder in the My Computer window; simply right-click drag/drop this folder to your Flash card window… All contents of your Desktop (including icons; shortcuts; etc) will be copied to your Flash card.

Source - My Documents Target Removeable Disk (USB drive)

* Here is an example of files that have been right-click drag/dropped from the My Documents Window to the Removable Disk (USB drive) window as it would appear on the desktop with the two windows open. You can see what the menu looks like which appears once releasing the right-click drag/drop over the Flash Card window. Note that I have selected “Copy Here” on the menu.
** Note also that you can see the “ghosted images” of the five files behind the Copy Here menu. Once Copy Here is selected by left clicking that option; the five files will be copied to the Flash Card.