If you just received your device and plugged it into your pc, and it doesn't show up as a USB drive, simply perform a factory reset and it will show up fine. As per below -
Take a paper clip or pin, and while the stick is inserted in a PC (ie powered on) press and hold the reset button, and count 11 (eleven) flashes of the LED. The release the reset button, but leave the stick plugged into your pc/mac. In about 30-60s you should see the setup drive show up.
If your PC/Mac still doesn't recognize the USB drive, please open a support ticket with the New Ticket button above.