Double-hit the.exe fileand select theflash driveas the target.
Here are some popular portable music players you could install on a USB memory stick.
CoolPlayer+ Portable
Slick and simple user interface.

Michelangelo Gratton / Getty Images
Can be installed on a standalone USB drive.
The app has a slick and simple user interface combined with an advanced playlist editor.
The donation-ware player is compatible with Windows 10, 8, 7, Vista, and XP.

1by1
Free player with a customizable interface.
Just pick the one you want to listen to.
It remembers the last track played and supports gapless playback.

The user interface looks a bit retro, but this light player is versatile and does the trick.
1by1 is compatible with Windows 10, 8, 7, Vista, XP, and 2000.
MediaMonkey
Full-featured audio player.

May be difficult to load onto a USB drive.
XMplay
Popular among superusers.
XMplay is a fan favorite among portable audio player users.

Foobar2000
Supports lots of audio formats.
Somewhat bare feature set.
Foobar2000is a free audio player for Windows that supports many audio formats.

It offers gapless playback and the interface layout is customizable.
This is a powerful media player with a plain exterior.