How do I download music on usb stick

Using a computer, you should be able to export music that you bought from the iTunes Store or imported from a CD. However, you cannot copy or covert songs you got with an Apple Music subscription. You only lease that music to play on Apple devices and the files are copy-protected. For more info, see:

Convert a song to a different file format with the Apple Music app or iTunes for Windows - Apple Support

Burn CDs and DVDs on Mac - Apple Support

Create CDs and DVDs in iTunes on PC - Apple Support