|Your problem is COMMON !|
The pen drive must be plugged into a USB port that it can be detected in - it may not be detected properly in some USB ports.
If it is being detected properly in a USB port, if your sound is not muted, by default you should hear "dong-ding" when you plug it in, and "ding-dong" when you unplug it, at only those times, and the drive should show up in at least Disk Management in Windows.
If it is being detected and shows up in Disk Management
(Control Panel - display as small icons or large icons - Administrative Tools - Computer Management - Disk Management)
but it's drive letter is not showing up in Computer or Windows Explorer , then you have probably damaged data on it by unplugging it while Windows was running without using Safely Remove Hardware to STOP accessing it before you unplugged it - usually that problem can be fixed by using certain programs to fix the data damage.
Troubleshooting USB device problems including for flash drives, external drives, external memory card readers.
See Response 1: