Hi Romatlo
USB is synchronous, and very "chatty". In order for a storage device to appear in windows (if FAT formatted) then the entire FAT table needs to be read. This can be very large, depending on the size of the storage device. The chatty nature of the transfer and the latency involved for each round trip of a message can often mean the device takes many minutes to appear in your guest vm. If the lights are flashing as you describe, then I Would hazard a guess that it is actually working, and if you leave it long enough then the device will appear..
There is some more information in my blog post here: USB Device Redirection in VMware Horizon View 5.1 and 5.2 | VMware End-User Computing Blog - VMware Blogs
Also, (linked from that blog post) in my KB here - which offers some suggestions to improve performance: http://kb.vmware.com/selfservice/microsites/search.do?cmd=displayKC&externalId=1022836
in summary - for better performance, try reformatting the device using NTFS instead of FAT. A lower network latency will also help - but - thats probably not in your control!
hope this helps,
peterB