I am not sure how you managed to do that, but that is not terribly relevant just yet.
If you haven't got a hex editor handy, try notepad, like this:
Start Notepad - if you don't have your favourite way of doing that, go to whatever does the job of the start button on your computer and click the "run" option. A "command line" will open, Enter "notepad.exe" (with or without the quotes, should both work.) Notepad will pop up. Drag the name of a JPG file into it (or use the "file -> open" menu to navigate to one.) What you will see is not going to look terribly pretty. Hence my advice: Don't under any circumstances allow Notepad to save this mess back over the existing image! DON'T SAVE!!! Okay?
Now look at the mess: Do you see the characters "JFIF" or "EXIF" anywhere near the beginning of this file? Is there enough "mess" to fill the screen - and more? If yes you are looking at the picture. This file will display properly on any computer that has some image display software installed - in fact, a browser will do.
If however you see what looks like the path to the image including the image's file name and the "JPG" extension (typically double spaced seemingly interspersed with blanks) then you are looking at a shortcut. If you try to view the image using this Windows will point the viewing program at the path you have just seen. If at that path location the image can be found you will see it, if not you will encounter some error condition.
Now here's the logic: If the path in the shortcut says, for instance, "C:\FOTOS\MyPic.jpg" and at that location on the C drive there is indeed such a file the shortcut points at it and all is well. Nw, if that shortcut file is on your stick and you carry it to another PC it will still point at "C;\FOTOS\MyPic.jpg" - except that on this other PC it is unlikely that such a file will reside at that location. If it did you would be shown that file, which, of course, could be an entirely different picture, just under the same name.
So, that is what happens if you copy shortcuts around instead of the actual pictures. Shortcuts to files are usually much smaller than the files themselves, which is why they are sometimes useful. It can also be helpful if you have various places on a computer where you need to reference a file that gets updated a lot. Copies of that file in various locations would all have to be updated along with it, but shortcuts stay current, since they redirect your software to the only real file that there is.
But, as you can see, shortcuts carried to other computers can be a major disappointment. (They would work okay if they pointed at a shared network drive that is accesses via the same drive letter from all your computers.)
So, let's use this method to verify that the files you are copying are actual images and not shortcuts to start with. Then let's verify that what's on your stick is actual image files and not shortcuts. Once we have ascertained that that is the case, there is actually no excuse anymore for the files not working on the destination PC.
The only way I can imagine you could be copying shortcuts is that your source files are actually shortcuts already. If your start button menu shows a "recent files" category - that one is full of shortcuts to files all over your computer that you have accessed recently. But they are just shortcuts. If you wanted to copy all your recently accessed files to your stick you would have to locate each of these files individually and copy them from their actual location.
Okay, go have a look and let us know what you find!