"New Device Recognized" Screen (when USB Stick Plugged In) And How To Handle ?

Hello,

Thanks to all the help I've been getting from you folks, things are beginning
to come together for me, and to work. So, thanks again.

Have this (new) question:

I'm on the Windows side, and plug in a USB Memory Stick.
It's recognized and a screen immediately appears saying "New Device Recognized". (or something very similar)
I then move/slide the USB Stick icon over to the Windows icon, and place it underneath the Windows icon.
So far, this sounds reasonable.

And then, nothing.
It just seems to hang there.
Can't do anything else, either; File Explorer, e.g., won't open.
I played with the ALT key like it suggests, but not much happens.

So, can someone explain the steps to follow when this screen appears after plugging in
a USB Stick, so I can go immediately to what is on it, and not have the pc hang (or appear to hang) ?
Really don't know how to handle this screen, or what to do after it appears.

Thanks,
Bob