I've had this problem in the past where a new media such as a jump drive was not being recognized by the 'My Computer'. If you're using Windows XP or Vista, unfortunately, the OS automatically assigns the media to a drive that has already been allocated for use by another drive. This can be tricky because your first impression is to think that the media can be defective even though though the task bar icon stated that it has been successfully installed.

To fix the issue, you will need to re-assign the new media to another drive that has not been occupied yet by any of your discs and drives. By going to My Computer and on the left hand side, right-click on the My Computer icon (where the folder hierarchy is) and go to 'Manage'. Once you're inside the Computer Management, you should be able to view current active media that is presently installed in your PC. Under the storage, you can go through each drive and right-click it to change the drive assignment. I have to set this as a reminder myself because I forget little hardware troubleshooting since I don't work with hardware as much as others.

- Dennis