I had to try soooo many different USB sticks. I think i used 6 before I found one that worked. I just about gave up and sent it back. I don't know what the deal with compatibility of USB sticks and ColorDMD is, but it's definitely annoying and should be fixed on their end. I think the stick that finally worked was one of those freebies that you get at a convention. I have no idea why it was any different, but everything was formatted the same, named the same. There was no rhyme or reason.
This is also one of the reasons that I went with a Pin2DMD in my WhiteWater. That was cheaper and as easy as could be. I didn't feel like going through the same ordeal again, and i don't know where that one drive that worked went.