Most LiveCD's only mount filesystem devices as read-only by default. You'll have to change this to read-write. I don't know if Mepis has a simple way to do this, but Knoppix provides a right-click menu item on the desktop icon for it, so look there first.
If there isn't anything like that, then you'll have to run the mount command as root:
mount -o remount,rw /dev/sda1
"-o" indicates mount options.
"remount" changes the status of a mounted disk without unmounting first (omit this if you're mounting for the first time).
"rw" is read-write (change to ro for read-only).
"/dev/sda1" is either the device name or the mount point of your usb drive. You could substitute /mnt/sda1 or /media/sda1, depending on where it's mounted. Check the drive properties for the actual device name.
You should now be able to write files to the drive. If it's anything like Knoppix, you should even be able to do it as a normal user. But you'll still need to have root priveleges to change the mount options.
Nearly all flash drive use the FAT32 file system, so there should be no problem accessing it from Windows. You may have some trouble though if you use non-English filenames. Most Linux distributions these days use UTF8 encoding, but Windows mostly still uses older country-specific encodings. To work with them you'd have to add two more options to mount: "iocharset=utf8" (assuming Mepis is UTF8, type "locale" to check), and "codepage=1234", with the number being that of your language's codepage
. A more detailed explanation can be found here
. Since you indicate that you are in Malasyia though, you shouldn't have to do this, since Malay uses the same codepage as English (1252).
If you ever install Linux permanently, then you'll be able to set the options permanently through the /etc/fstab file. You might even give it a try on the liveCD, since many of them allow you to save such changes to your hard drive or a removable disk.