Just save the file on your hard drive, then go to My Documents, select the
file, Ctrl+C to copy it (or right-click and copy), then navigate to the USB
drive and Ctrl+V or right-click and paste. I would not recommend saving
directly to a USB drive. You might have a "Send to" and then the USB drive
option if you right-click the file in My Documents.
There is not a USB -- or, really, any drive -- option on the File | Send to
menu in PPT.
If you're trying to use something like File | Package for CD but put it on
the USB instead of a CD, you should be aware that it won't autorun on a USB
like it will on a CD. But you'd use "copy to folder" there instead of "copy
to CD," and then you'd copy the folder and paste it onto the USB.