Try going into your disk management section and see if the device pops up in there.
You can access it by going to:
Control Panel
Admin tools
Computer management
Disk management
Does the drive show up there? On the Disk window (the one at the bottom, center of the window) is there a drive that says "offline?" If so, right click it and select "online."
If it isn't showing up at all there, you may need to acquire a driver for it.
What is the brand and model of your thumbdrive?