Every drive on your system must have its own unique letter name, and your Operating System takes cars of assigning them. It is common for USB port systems to remember what drives you have plugged in and what letters they were assigned, so a new one may get a later letter name. So if you have plugged in external drives and flash drives from time to time, when you plug one back in it may get the name it had before, but maybe not, The important thing, though, is that you should pay attention and know which drive is which letter. for example, when you plug in a flash drive and My Computer shows you a new drive called J:, than that is the name for the one you just plugged in. You can copy anything you like to that drive. You do NOT have to copy only to some other drive.
To copy you can simply drag the file to the J: drive, if that's where you want it to go. Or, if you're more comfortable with a Copy (Ctrl-C) and separate Paste (Ctrl-V) operation, just make sure you click on the destination drive (J:, for example) to highlight it before pressing Ctrl-V.