Solution that worked for me:
- right button on Windows menu and select Disk Management
- ensure the drive is listed in there and no Drive letter is allocated for it (might be separate case if it is otherwise)
- ensure the drive is formatted and the space on it is not listed as unallocated (might need formatting otherwise)
- right click on the device and select "Change Drive Letter and Paths..."
- the list of drive letters is expected to be empty, click on "Add..."
- make sure "Assign the following drive letter" is selected from the radio buttons and it has appropriate value in the drop down next to it
- click "OK" on the 2 dialogs
- the device should show in the File Explorer right away