HOW DO I SAVE A DOWNLOADED FILE ONTO AN EXTERNAL FLASH DRIVE PLEASE?

I'm a recent convert to MAC and I am finding it a real struggle to do very simple things.  I have information I want to move from the MAC to my PC and thought I would do it with a Flash Drive - easier said than done.  I found a You Tube video that talked me through erasing the Flash Drive using Disk Utility so done that.
All I want to do is to copy a file onto the Flash Drive but I have no idea how to do this very simple task........are you sensing my absolute frustration here!!!!
I tried pulling the Flash Drive from Disk Utility to Desktop - can't do this!  I have the file on my desktop and tried dragging it over to the USB in Disk Utility - can't do that either...........
Anyone help me please....I can't understand how to do the simplest of tasks with this MAC
Any help would be really appreciated.
Thanks
Trish

Thanks Niel, that was really helpful and I've just saved it.  This MAC takes some getting used to.
Thanks again
Trish

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