pdf files changing

For the pass few weeks I have tried to figure this out. When I download a pdf to my flash drive it can not be opened.. I get an error

"Adobe Reader could not open … because it is either not a supported file type or because the file has been damaged (for example, it was sent as an email attachment and wasn’t correctly decoded)."

If I download directly to the computer I can open it. If I move, copy or save from the computer to the flash drive and try to open them I get the error code. Is the pdf being changed when I move it to the flash drive. I moved some old pdf files to the flash and they open correctly. It's jut the new files that will not open. Please help, I really need to save to my flash drive.