The USB stick will usually appear as a set drive, say E:
A simple copy statement may do the trick
copy c:\windows\desktop\2009\*.* E:
This will cause all the files (*.*) to be copied to the root of E:. This may not be what is desired as it will prompt for overwrites. You may want these files in a specific directory on the USB stick and other possible variations.
In case someone else comes across this, the 'right' command is xcopy (or even robocopy in Vista). It's designed for copying whole directory structures like this, and can be set to ignore unchanged files and the like.