Well you could put in ONE memory stick, copy the files to your hard disk, then plug in the other memory stick, and then copy the files from hard disk to your other memory stick.
But I should imagine if you plug in BOTH memory sticks one will be one drive leter (say E:) and the other would be say drive F:.
You could then open My Computer and double click on the icon for each memory stick so they are displayed side by side. Then "drag" (holding down the right mouse button) the files from one folder to the other and choosing copy.
This picture gives you the idea
http://vageek.org/drag%20drop.jpg
The window on the left is one memory stick, the window on the right the other memory stick.