When you plug one of these into your USB port it should allocate itself a drive letter.
Your Windows drive is probably C, and your CD/DVD drive is probably D (but depending on how many "drives" you have you may already have C, D E and so on, it can vary from PC to PC).
So the USB memory stick will become G or H or whatever.
Then you can right click on the folder holding your photos and use the "Send To" option to send them to your memory stick.
p.s. Note 8Gb is not that big and if you have a lot of photos it could fill up quickly.
p.p.s Memory sticks are not that good a backup. They are very small and can easily get lost or stolen. Better to backup to a CD or DVD (and the data cannot be deleted) or to one of "cloud" storage areas that people like goggle or Microsoft provide.
In fact backing up important things to more than one place is a good idea in case one of the places lose all your photos.
ONE backup is never enough.