The first thing you should do is verify that your USB flash drive is compatible with your keyboard, because not all flash drives are compatible. In general, it must be a USB 1.1 or USB 2.0 flash drive-- USB 3.0 is not compatible! On Yamaha's web site there should be a list of USB flash drives that have been verified to be compatible with your keyboard, so you should check that list.
When you plug in the USB flash drive, you must wait patiently while the keyboard mounts the drive and reads through the file directories. When it's done, a "USB" indicator will be displayed on the keyboard's LCD screen. If you try to access the drive's contents before the keyboard has finished this preliminary step, you'll get an error message.
To use a style that you've put on a flash drive, you must first load the style into the keyboard's memory.
On the other hand, you can play songs directly from the flash drive, but you can't load them from the flash drive into the keyboard's memory.