how do I download to a flash drive

See:

Save a copy of your playlists in iTunes on PC - Apple Support

Be aware that the playlist is just the names of the songs and not the songs themselves. If these are songs you leased with an Apple Music subscription, you cannot transfer them to a non-Apple device. The songs are copy protected. However, if they are songs you purchased from the iTunes Store or imported from a CD (for example), then you should be able to copy them to a flash drive.

OK, How? I see how to burn to a disk but not to a flash drive.

I see how to copy to a disc but not to a flash drive. Do I need a different app in order to do it?