The fact you are referring to it as a thumb drive leads me to believe you might be an older person, if you don't understand "codecs" or file formats, your best bet is to put the usb into your computer and check (right click on the icon for usb drive) and check how it is formatted. Make sure that the format is compatible (an old Windows computer probably formatted it as FAT32), ALSO CHECK THAT there are NO VIDEO files on the drive, that could cause it to not play.
Finally, it is probably considered an "AUX" device, so click around on your screen and see if you can tell whether the audio system is recognizing it at all.
It could also just be a bad device. Get a new one, format it properly, and copy only MP3 or whatever the proper file type is songs onto it.