This is a known issue when saving to a USB drive that is formatted using the FAT file system (as opposed to FAT32). The only known work-around is to backup the files on your USB drive and re-format the USB drive in the FAT32 file format.
WARNING: Formatting a drive will erase all the contents of that drive. Do so at your own risk!
For steps on formatting your USB drive, please consult the instructions manual (or support website) of the manufacturer of the drive.
We have not seen this happen in Screenwriter 6. If you are using Screenwriter 6, and are experiencing this issue, please contact Technical Support.