The USB drive is just like any disk drive on your system, and you can access it just like finding files on your C: drive. Open up File Explorer, navigate to the file you exported from Sonar, right-click on the file, then expand the Send To from the drop-down and pick the USB drive. This is one way to do it. You could also have done a 'copy' of the target file and then navigated to the USB drive under This PC in File Explorer and done a Paste.
Anyways, one of the above will get that done for you - if you first export your track from Sonar to somewhere on one of your disk drives.
Bob Bone