How to save files from a USB drive to my computer?

Hello everyone. I have a 16gb rocketfish flash drive. I bought it to put the music from my iTunes on it and put it on my new laptop. I have successfully transfered the files to the pc, BUT they don't save. I have to keep the flash drive in to listen to my itunes music. Not to open the program, just to listen to the music (files on usb). So can anyone help me out to permanently save them on my pc without having the usb drive in? Thanks! :)