First of all plug your memory stick or external hard drive in to a USB port on your computer
When you plug the device in, you may get a pop-up window appear offering you various options - you can choose Open folder to view files or follow the next step to see the contents of the drive
To see files already on the device (and to see what name and drive letter is assigned to the device), double click the My Computer (or Computer) icon on your desktop or start menu, you will then see the device under the removable storage section (in this case drive M:)
You can copy files to this device in two ways:-
1) You can right mouse click on the file/folder you want to copy and choose Send to > MEM STICK (M:)
2) Or you can use copy/paste to move files and folders to your drive
Firstly find the files you wish to copy by opening the folder via My Computer (as above) or My Documents etc
Right click on the chosen file/files and choose Copy
You can select multiple files/folders at a time by holding down Ctrl key whilst clicking on them, or pressing Ctrl-A to select all files
Next navigate to your external drive/memory stick by opening My Computer as described above
Right click in an empty space and choose Paste
You will then see a progress bar as the files are copied to your external drive