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If you do not have a laptop with a special socket for this drive, you may need to use BOTH USB connectors on the computer end of the cord that came with it, and you may need to plug it into physical USB ports directly connected to the mboard.
Troubleshooting USB device problems including for flash drives, external drives, memory cards.
See Response 1:
Have you been able to use this hp pocket media drive to do the exact same thing before successfully? If not, you may not have installed the software for it properly in the first place.
Using the HP Pocket Media Drive in Windows Vista