the files can't be in a folder or 'zipped' (compressed). For a test, move one FILE to your desktop (probably ends with .PES) then move that file to your thumb drive. If the file ends in .ZIP, double click on it and see if you get an option to uncompress it or expand it. Your PC's operating system may be able to do it by itself or you may need to get a program that unzips the file like WinZip.
to view the files on your PC, you can dowload "Ambassador" which is a free application. Click the link on the right side of the page that says "Free sizing and embroidery format conversion software"
http://www.pulsemicro.com/embroidery/index.htm