Then, download the files to and make sure External disks. If the USB drive shows USB drive in Finder, chances it's empty when it's not supposed to be, it could problem with the drive, you might struggle to find it.
Then, click the Sidebar tab and make sure External disks under the Locations heading is enabled. If you can see an icon representing your USB drive, just double-click to open it. To open it, click the blue smiley face on the left side of the Dock. Connect your USB drive, then click the yellow minimize button in the top-left corner of all your open windows to reveal the macOS desktop.
