So I can play the files from the usb thumb drive, but I cant figure out how to transfer them from the drive, so I can remove the the three inches of adapter and usb drive
There's probably another way, but I would use Astro file manager (free from the market). Locate the file that you want to copy on the USB with Astro just as you would with Windows Explorer (or Finder if Mac). Long press on file name, select Edit, Copy (or Move), then go to the destination folder on your tab, long press, select Edit, then Paste.
Note - I don't have the usb adapter, but that's probably how it works.