Hi Sam,
USB based pen drives are not a supported target for backups. More information on backup target supported types is avaliable in the "Choosing a storage location" section of this help web page
http://technet.microsoft.com/en-us/library/cc753528.aspx (similar info is there in the help in Backup scheduler).
Thanks,
Abhinav
Thanks, Abhinav Mathur [MSFT] -------------------------------------------------------------------------------- - This posting is provided "AS IS" with no warranties, and confers no rights