Flash drives, pen drives, memory sticks -are all the same thing (although there is a camera card called Memory Stick or MS)
Flash in this case is refering to the fact that stuff can be put on them pretty quick.
Other uses of the word flash are used when talking about replacing contents of a chip eg. flash the bios means upgrade the built in software (firmware) of the computer motherboard.
You just plug them into either mac or pc (pc's will go through the initial process of identifying and installing it as a drive). The just put stuff on it.