Ok, so step by step, here it goes:
Insert the pen drive into a USB port. Now, go to My Computer in Start, or if you are using Windows Vista, it is just Computer. There, you will find your USB drive. Double-click it. There will be a blank white folder. So, it means that you don't have anything on it. Typically, this window shows the root folder on the drive, so you can see all what is present on it. Now, drag and drop all the pictures. You can try Ctrl+click on all the pictures and then drag them together. By dragging, they will be copied on. To actually transfer and have nothing of those on your PC, right click the pictures, and choose cut, or just press Ctrl+X. Now, in the USB drive folder, press Ctrl+V or right-click and hit paste. You're done.
This is a really basic thing, and you need to know it. You can do this in case of any hard disks, any computers and any folders.