This problem occurs when your drive letters are conflicting. Windows does not show the message either it load the USB drive and the drive with the same letter also work fine.
Go to CONTROL PANEL -> Administrative Tools -> Computer Management -> Storage -> Disk Management.
Inside it you can see your USB drive. Right click on it and choose "change drive letter and path" from the popup menu. In this you will see an edit button. Click on edit button. Change the drive letter and click ok button and exit from the menu.
You will see the drive in your My Computer and also in Windows Explorer now.