If your talking about Save As from within photoshop. just save the images to some place on your hard drive , i.e. desktop and copy the images from there to the usb drive.
If the thumbdrive is mounted, then you can just select that drive in the save dialog and save there.
I recommend that you save the file to your hard drive as well, as flash drives are known for file corruption if the drive is not safely ejected before removal. That said, windows 8 may have fixed this issue with files still being opened when the drive is removed.
In any case, it is always a good idea to have a backup of your important files.