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A little more information would be helpful here, what type of USB device are you trying to record to? What are you trying to record? What software are you using or intend to use?
You treat the USB just like a additional hard drive and copy files to it just like you would to a hard drive.
You do not provide any info we can work with to customize the answer so basically plug in the stick, go into Windows Explorer and locate the USB stick. Open it and away you go using your "new" drive.