The Pen drive basically consists of Flash memory (it is a type of ROM like EPROM,EEPROM etc...) and fabricated onto a pcb to which a USB connector is added.
When the pen drive is connected to any USB port of our computer,the port allows the pen drive to access our computer.(Most pen drives are supported by FAT32 filesystem.)
Now that the pen drive has access to your computer,you can copy data to or from the pen drive(i.e from the flash memory).

P.S:Flash memory is ROM which means it is non votatile .. that is, the data stored in it wont be erased if it is unplugged.

Hope this helps!!

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