To expand on what Bruce and Cari have provided, once the device is
plugged in;
Open "My Computer" and click the "Folders" button
You should see C: (hard drive) D: (CD Drive) etc
....and below those, you should see the memory drive... the letter will
vary depending on what you already have in your computer.
Back in Word or other program, click "Save as"
At the top of the box which opens, you will see "Save in"
if you pull that down and click "My Computer" you will see the same list
of drives...
click on the memory stick and proceed exactly as you would saving to the
hard drive...
Tip... create a new folder on the drive to save in rather than simply
putting stuff in the empty stick... the root may fill up and refuse any
more files.
Beverly Howard [MS MVP-Mobile Devices]