It's odd that you are having trouble with this. USB pen/key/thumb/whatever flash drives are usually pretty reliable media, and work well so long as they are formatted properly for the devices with which they are being used.
Most flash drives are formatted as FAT32, and are thus compatible with a wide range of equipment. It might pay to look into what your video player is expecting. It may be that the drive you are using is not behaving "true to standard". Maybe try a different one? I have good luck in general with devices made by SanDisk, Ativa, and Memorex.
To re-format your flash drive, you should probably use the PCLinuxOS Control Center (Configure Your Computer), under Local Disks, selecting Manage Disk Partitions.
As always, be careful to read and think before you format a device. This tool will NOT default to your USB drive - the first thing you should see is your first hard drive (the one your system is installed on). Look for a set of tabs at the top which allow you to select other mounted drives. One of these will be your USB device (mine mounts up as sdb, but you should look to be sure before formatting anything.
Good luck with your drive.