@trekov You'll need to do this:
Go to the Xbox Home section of your Xbox.
Navigate through the menus until you find the settings menu.
Select the option titled System.
From here you should see another option titled storage, select this option.
There should now be a drop down list of storage devices currently connected to your Xbox One as well as the Xbox One's actual hard drive.
For the purpose of transferring game data from your Xbox One to a USB drive you will be copying data from the Xbox One hard drive.
Choose the type of data you want to copy from the list available.
Select the data you want to copy.
If you want to copy more than one file at a time then click the option titled 'Copy or move multiple items using the transfer content option'.
Select the storage device (the USB drive) that you are transferring the data to.