if you could give us the file system type on the flash drive that could answer everything.
to see the file system, insert it into a computer and open up the properties dialog for it. under the name field there will by a field called "type" and then one below it labeled "File system". if you could report to use what that reads for the flash drive then we can better advise you on a solution.
the likely situation here is its formatted to NTFS or exFAT and the car stereo doesn't support that. if that is true, then reformatting to FAT32 should solve your problem.