should not need any special formatting to the usb drive -
http://9thcivic.com/forum/threads/diy-how-to-change-your-i-mid-wallpaper.3256/
skip forward to 1:40 seconds into the video ^^
see if that helps?
for the others doing this by USB - is your thumb drive formatted to NTFS or Fat32? I can't imagine that causing it, but...?