Hello, this is Emily.
There's no direct way to transfer music files from Media Player to flash drive. You will need to go to the actual file location and transfer from there.
In Media Player, right click on the file you want to transfer > Properties > Open file location. This will open up the folder where the file is stored. From there you can copy the file, then paste into your flash drive, or right click on the file > send to > your fash drive.