If Windows won't run an autorun.inf file from a pen drive, that's a
good thing. I don't really want anyone walking by to be able to plug a
pen drive into my computer and execute anything.
Another stumbling block that you may run into: Most USB devices need to
have a driver installed before they will be recognised correctly on
Windows. On a Mac this is a different story, it just works.
What's the data transfer speed on those things? Is it actually fast
enough to play a Director file?