You can search a USB drive just like any other fixed or removable drive. Just specify the Look In location to be that of the USB Drive's letter, e.g.
Look In: H:\
Try and very simple search to start off with (ie no File name OR Containing Text) just to check that it's correctly reading the drive.
If you're still having problems try using the
wmic command to list all the connected drives, e.g. from the command prompt type this:
wmic diskdrive list > c:\drives.txt
Then please update your question with the information from the drives.txt file.