|It sounds like you may be unplugging the USB pen drive before the file copying process has finished - hence new folders but nothing in them.|
If copying large amounts of data to a pen drive, you must ensure that the writing process has finished by checking the indicator lamp on the pen drive. If it's flashing, that means data is still being written to it so do not unplug it yet.
Data could still be being written to it even after the copying window has closed on the monitor, especially if you've configured the pen drive for best performance instead of quick removal.
If your pen drive has no activity lamp (some very short ones don't) the safest thing to do before unplugging it is click the "Safely Remove Hardware" icon in the system tray, then click the appropriate device in the pop-up menu. It will tell you if the device is still busy.