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You definitely can save your music to the memory stick.
You say you saved the tracks from Youtube. I am wondering if you have downloaded the video files. If so that would occupy too much space on your stick and would probably be in the wrong format.
The tracks should end in .mp3 - so perhaps "Feelings.mp3"
If they don't you will need to convert them. There are plenty of "apps" online which will convert files. You may have .wav files so in this case just search for something which will convert wav to mp3. If you have downloaded the video files you will need to play them on your computer so that the sound can be captured and then transferred to your stick.
I have two computers so I play the video on one then pass it out of the headphones socket to the line in socket on the other computer. I use "mp3mymp3" a program which will record what it hears and convert it to the required .mp3 format. Other programs probably do the same but if you do not have one you can find it at: http://www.mp3mymp3.com
Then you just need to pass the saved mp3's over to the stick. Hope this helps.
Freemake Video Converter can create .mp3 files from videos.
Its a free download and it works well. However, this is a warning to make sure when you install it that you say no to any extra programs it might want to install as well. Do a custom install and only allow the main program.
I have just converted a Celine Dion video to mp3 with it and it did it in seconds. The download is easy to organise into whichever folder you want to place it so this is much better than my suggestion and indeed one which I will use myself in the future.
I have now added the following details to my original post.
Click Convert video
When popup showing “Video successfully converted to mp3” Left mouse click on download which is in blue text.
If using Internet Explorer A bar then normally pops up at the bottom of the page
Left mouse click to the right of the save button and select “save as” and left hand mouse click. (If you select save instead of save as the track will normally go to your downloads folder.
Save as to the folder you wish to save the tracks or if you wish save them directly to the memory stick/drive.
If you still have a problem you could send me a P.M with an email address and let me know what browser you use if not Internet Explorer and I will compile a detailed instruction list with screen shots as a PDF.