Seeing the flash drive not recognized error on your computer is both good and bad news.
Bad news first: Obviously, your jump drive did not work, which means the problem either has to do with your computer, your flash drive, or it was a one time thing. The good news is that this situation is very popular and is usually a very easy fix. Just stay patient and have an open mind.
This message can occur for dozens of reasons. One of the main problems is that people often disregard the "safely remove hardware" option when they remove their flash drive from the computer. Often the data that was in the process of being downloaded becomes corrupted and can corrupt the jump drive completely.
Less popular reasons why this message appears include having a broken jump drive or a computer running on an operating system that is way out of date. As long as you have Microsoft XP or better, you should be fine.
The best way to fix this problem is to simply try again. Take your drive out, take a 30 second break and try again. There is little work and no risk at all involved here, so it does not hurt to at least try. If this does not work, try to restart your computer. At least half of all computer problems can be solved by a simple restart.
This problem seems to target windows based computers and laptops primarily, but Mac's and even PS3's and Xbox 360's have been known to spit out this error message. Be sure to keep your cool and do not assume that your jump drive is broken.