That is a function of your operating system. But, if you're referring to files that you've stored in your Acrobat.com online account, you would need to download them to your computer first, and then use the Finder (Mac OS) or Windows Explorer to move them onto the USB.
To download files from your Acrobat.com account, log in to https://cloud.acrobat.com/files with your Adobe ID and password. Then, select the file or files on the Files list, and click Download at the top of the window.