Is it possible that they were never copied over to the stick? Did you use the safely remove hardware tool? At least wait until the light stops blinking.
If you can open the drive and view the files, and the one you want is not there...it was never copied to the stick.
I aggree with Surfer, not using the safley remove hardware option or removing drive before it's completly ready causes this, so again, data never finished writing to the drive...
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