Okay I am assuming that you are referring to a USB thumb drive aka memory stick which contains mp3, wma (YOUR STEREO ONLY PLAYS MP3 AND WMA VIA USB NOTHING ELSE MANUAL SAYS) audio tracks and a certain specific format (formatting is done on computer, windows and different types of formats are supported on different devices). NTFS, fat32, exfat. Typically I think they like fat32 before but I have had all of my drives formatted for NTFS on newer equipment and had no issue with it. Um since you checked the drive and its working it's probably not that. It could be the connector on your stereo there. But if its new it's probably a formatting/compaitbility issue with the stereo. Heres the manual http://www.poweracoustik.com/pa2012/manuals/PD-710-T.pdf
Also this stereo is a really cheap brand so they don't work as well and dont have that great of support. A Google search of that an similar stereos from them came up with several issues. There is very little USB power coming from that port so it's probably only enough power to connect a thumb drive. Some people have cables connecting to other devices and that is probably not going to work. I would get a different usb stick reformat it on the computer and copy some mp3's over.