I might be taking you too literally, but you won't be able to transfer directly to a thumb drive. You will need to transfer to a Mac or PC computer first to create the audio files. You will then be able to transfer the files from the computer to a thumb drive. Even though thumb drives are USB, and the turntable will output to USB, you will need to use the supplied software on a computer to create the sound files first.
It depends on your PC...After connecting your thumb drive, make sure it's seen by your PC. If you see it as a lettered drive, usually K-J-N-X-Z or something like that, you are all set to go. Click on your Music and it will give you the choices...SEND TO is the one to use. Click the Song or Folder then Send To and it's done.