Under Windows, you might plug in a USB pen drive, but it does not appear. No error message is given, and the device is listed in the Safely Remove Hardware list, but you cannot find it in Explorer.
A possible cause for this behaviour is that the drive is trying to use a drive letter that is already assigned to something else. You can check this by right-clicking on My Computer, selecting Manage, then Disk Management. Look for the drive. If it is there, right-click on it and use the Change Drive Letters and Paths option to assign a different drive letter.