Parallels can now detect my thumb drive (thanks to advice here) I can see the icon for it Removable Disk (E). However when I right click a document & "send to" i get an Error Msg-Insert Disk. Please insert a disk into Drive E I have already ejected the thumb drive from the Mac (before starting vm) and then I have waited for this error and re-inserted when asked (with XP running). I have also tried inserting it before I try to back up. When I double click the icon to see the contents in the Removable Disk (E), nothing happens Any more ideas please ?
After you eject the thumb drive in OS X it should be available to Windows. At this point you go to the Parallels Devices -> USB menu and see if your thumb drive is seen there. If it is there and has a check mark next it then Windows has already attached it. If there is no check mark then select the thumb drive with your mouse. A check mark should appear and Windows should attach it. If it is seen in the USB menu and it has a check mark but you still cannot access it, there may be a USB compatibility with that thumb drive. I use SanDisk memory sticks and they all work perfectly. I have an older one I got from a computer show for free that does not work at all in Windows, but works fine in OS X.
