The 3rd line from saga is the answer to your question.
Go to your download link, and click on it
You should get an option to save it (if you're using firefox, you may need to change ur download location).
You can save it to the desktop, and then drag it to the flash drive, or go straight to the flash drive.
If you want to save it to the flash drive directly, just click the 'save' button, and then click the 'browse' button to access the flash drive's location. You'll find the drive listed under 'My Computer.'