Try putting the USB Flash drive (thumb drive) back in the mac. Select the drive on Finder. Then Empty Trash. Eject the drive on the Mac before unplugging the drive. Then try it on your windows machine.
Consider using Dropbox for storing all of your "data" files, not program files. Then you can access those files from all of your computers. Also, you won't lose them if your computer is destroyed or replaced. It also synchronizes files, so after you change a file on one machine, the other will eventually have a copy of the new file. Dropbox works on any system you are likely to have - Mac, Windows, and even Linux (which you are unlikely to have or want).
There are alternatives to Dropbox, which stores the files on a "cloud server". Amazon, Google Drive and likely others.
Some USB Flash drives come formatted for PCs and do not support large files - likely if you are trying to store "movies". They can be reformatted to a larger file system on a Mac. Google can help you find out how to do this. Do it BEFORE putting files on it, because files will be lost after reformatting the drive.
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