USB memory sticks don't normally need separate drivers (as mentioned above).
If you have an install disk for the particular device, look on it for the XP driver .inf file for that device. When the installer asks you for the file, navigate to that .inf file and point at it.
If that doesn't work, note the time you did it, and then go to Control Panel - Administrative Tools - Event Viewer. Look in "Application" and "System" to see if there are any reports in there about what exactly went wrong.