Since all actions to storage devices (like USB drives) are buffered, you must choose "safely remove or eject this device" before removing the USB device.
Alternatively you can choose "unmount this device" or issue a "sync" command.
If you don't do this, the USB device will likely end up in a undefined state.
MS-windows has buffering disabled for external storage devices to prevent exactly this scenario.
Be aware that MS-windows can not read any UNIX/Linux native filesystem (or any standardized filesystem for that matter) so you have to format your USB device according to something that MS-windows can understand. That means it must contain only one partition and it must be formatted as FAT32 , NTFS or (if you installed the exfat tools in linux) exFAT.
This is something I never encountered on any Linux install . Be aware though that, contrary to MS-windows, a password prompt in Linux never echoes anything you type to screen. So it might look as if it doesn't accept input, but actually it does.
To test this, you might want to give it a simple command like:
sudo echo hello
If this doesn't work, either your typed password is incorrect (password is case sensitive) or you might have a problem with the pluggable authentication module (PAM) which unfortunately I can not solve for you because I don't have the knowledge to do so.
One other thing: If you are on a laptop, make sure your numlock is off when typing, changing or creating your password.
A lot of laptops are missing a numeric keypad and overlay the numeric keys over the regular keys 7,8,9,0,u,i,o,p,j,k,l,; which will mask the original function of those keys. Therefore, make sure that the numlock is switched off.
This is something that happened once to me which resulted in 15 minutes painful troubleshooting before I discovered it. A true facepalm moment.
Also be aware that the things I mentioned may or may not be applicable to your case. I am not really good in remote troubleshooting so these are just educated guesses.