It used to be that Apple just had it automatically pop up or appear on the desktop. However due to security reasons probably, this is no longer the case. Mende1 has the solution below.
At the left part of the Finder window, you will find its sidebar. Here, you should see a “Devices” list at the bottom of the sidebar. If you don’t see it, scroll down, and finally, choose the USB drive.
To show it in Desktop, just go to the menu bar and press the “Finder” button, and then, select the “Preferences” option. Then, in the window you should see, tick “External disks”, and the USB drive should appear in Desktop
via HT2518 when i connect my flash drive to…: Apple Support Communities.