Most common is the memory stick is formatted in FAT32 so lots of reasons for failure to another issue where Bootcamp from memory needs it all on the HDD or SSD.
Bob
I am trying to bootcamp my macbook pro with retina display. I go to run the bootcamp application and I go through the steps. I am downloading the Windows support software and the error message comes up "The Windows support software could not be saved to the selected folder." I have Windows 7 on a USB and I am trying to put the Windows support software on a different USB but it always comes up with this error. I have tried several times now. Please help I am going crazy!

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