Is it brand new or has it been used before? do you have any data on the drive?
First thing to do is Right Click "My Computer" and go to "Manage"
At the bottom of the left hand column there will be a title "Disk Management" left click on this
It will load up the drives that are connected to your computer/laptop
Right click on the flash drive that will come up at the top of the drive list and see if you can view properties
If this memory stick is brand new make sure that you assign a letter to this drive, this should bring up the memory stick when you plug it in as an accessible drive.
Jason