which transmitter is it exactly?
Did you plug in the USB flash drive into the USB with media support or is it just a charger port for other devices?
edit:
Which USB flash drive are you using? Maybe only <32GB "U disks" are supported by the transmitter
Do you have a link where you bought it from? Without the specifications of the transmitter it could be that:
no USB media files are supported, only charging
the device is faulty
the media files on the USB media are not supported
the wrong USB port is used for the USB device with media on it
the USB flash drive is not supported/compatible