There are various ways of doing it. Here's mine:
Insert the memory stick and go to the 'Favorites' folder on it. Display that folder on your monitor as a Window which only takes up part of the screen.
Then display the 'Favorites' folder, which is already on your PC, alongside the first one. (You should find it at a location somewhere like C:\Documents and Settings\username\Favorites. If you can't find it that way simply go to Start>Search and look for 'Favorites' - remembering to use the US spelling!).
In the window for the memory stick, go to 'Edit' and click on 'Select All'. Holding your mouse key down, 'drag & drop' all of those files across into the other folder.
Chris