If you have a directory of all the same file types and only some of the files show up in the directory, then check to see the file size of the files that aren't showing up. The Wireless Media Stick has a current limitation on file sizes of no greater than 4 GB. If your file is larger than this, it won't show up on the stick.
The solution is to get a smaller file, or to split this file into smaller parts. There are plenty of free solutions on the web just do a google search for 'split mkv files'.