My XP system doesn't assign a drive letter to my USB Flash Drive and it doesn't appear in My Computer, although it is recognized by my device manager and the eject icon appears.
Check to see if you have a network location which is mapped with a drive letter such as E:, F:, G:, etc.", letters which will usually be assigned to the USB Flash Drive. If to the USB Flash Drive was once assigned a drive letter and then the same drive has been taken by a network location, it will not be given a drive letter (XP is designed this way). Map another drive letter to the network location and the USB Flash Drive will reappear on "My Computer" with that drive letter.