The problem lies in that OSX isn't recognizing your device because of the filesystem.
If your downloading your files from Windows (Im assuming you are), do this:
On Windows, go to My Computer-> Right-click(USB Name)-> Format
From there, choose FAT32 as your filesystem, with default block size as 32Kb. If that doesnt work, try 64kb block size.
If that doesnt work, plug the usb back into your computer while running OSX.
Go to Disk Utilites (the acutal name escapes me-- its in your utilities folder as a stethiscope and disk) and wait for the list to populate. You should see your pendrive in the list. you should be able to right click-> mount. If it says theres a problem, format the drive in OSX as MS-DOS FAT. Plug it into Windows, copy+paste, and it should show up next time you boot OSX.
Thers a terminal version of this, if your device is set to not automount... but that shouldn't be the case.