How to backup docs and pics using a USB drive?

I'm a fairly new Mac user and I'm panicking a little right now. I bought a USB to backup my pictures, documents, etc. (I also backup using Time Machine and an external drive, but wanted some extra protection). I just inserted the USB drive for the first time, it showed up on my desktop as "Untitled" (so far, so good), then I dragged my Documents folder from the Dock to the USB icon and the Documents folder from the Dock is gone. (Yikes!) When I opened the USB icon, there was nothing in it. I looked in Finder and my Documents are still in this Mac (somewhere), but how do I get the folder of them back onto the Dock? And before I go any further, what is the (proper) procedure for backing up my docs and pics (from iPhoto) to this USB drive?
Any help would be greatly appreciated. I'm not gonna touch a thing until I hear from someone with more Mac knowledge than this Mac newbie.
Sunny

Select the drive in the Finder, choose Get Info from the File menu, and if it's format doesn't contain Mac OS Extended, use the Disk Utility in the /Applications/Utilities/ folder to erase it.
Click on the item in the Finder's sidebar with the house icon and drag the items inside you want to back up onto the external drive and drag the Documents folder to the Dock.
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How to backup docs and pics using a USB drive?

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