If you are using a flash drive, try and connect it to another computer just to be sure that the USB ports on your computer are not faulty. If you are using removable flash media, try connecting it to your computer with a card reader just to be sure that the cord or device you are using is also not faulty.
Undelete is good for basic recovery on many kinds of drives, internal or external and can handle recovery through corrupted or damaged media. Undelete can recover from any kind of external drive.
Make sure you don’t save anything on that drive. Even a simple download or save can affect the drive and your critical data. Download the demo for Undelete onto a safe PC. Connect your affected drive to the machine running Undelete. Use the built in Preview feature to see your lost files. Please note, only the full version will let save your files.