Hello Rob, this is Emily.
You would first want to access your thumb drive in File explorer. To open File Explorer, you can click on the yellow folder icon on the taskbar, or you can just type the actual words "File Explore" in the search on the taskbar and hit enter key to launch it.
Once launched, on the left, click on "This PC', on the right, you would see a section for "Devices and drives". If it is not expanded already, click on it to expand. And you will see OS(C:) drive, but you should also see your thumb drive listed there. It can be D: drive most of the time, depending on if your computer has any other partitions.
Double click on the thumb drive to access it, then from there you can select any folder or file, right click and select copy.
Then on the left, click on for example, Documents, or Desktop, depending on where you want to put them, then right click on any space on the right and choose paste. The files will transfer then.