If you have it on your computer...
ie. you can play the video without connecting to utube
then you need to know where that video is stored on your computer when you downloaded it?
if you type the name (or partial name) of the video into windows search, it will find it for you.
then plug in your usb drive.
(you may need to push the special windows icon keyboard key to get here)
Use the windows "this PC", that's the icon that looks like a manila file folder. It should list the drives, including the usb. If there's any doubt, pull it out and put it back in, you should see the change in the display for a removable drive. This PC also includes a search in the upper right corner to do the search for your video. Click on the video file (probably an .MPG) and drag (hold down the mouse button) to the drive letter for the usb stick.
That's what my 3 year old told me to tell you....