1) On most of my USB sticks, a blinking red light indicates activity. Either reading and writing or, when first plugged in, the system trying to figure out what it is.
2) The classic questions: Do other USB sticks plugged into the same port work? Does the OS see the drive, or respond in any way to it being plugged in?
3) If the whole drive is flashing red, it is on fire. It will no longer work.