If your thumb drive was infected by certain virus that caused all your folders and files to become shortcuts which cannot be opened, here's the solution to recover all your data file in the thumbdrive.
Cmd > Run as "Admin" >
attrib -h -r -s /s /d g:\*.*
Note : Replace the letter g with your flash drive letter.
Now download the Malwarebytes' Anti-Malware from this link:
http://www.malwarebytes.org/
Update it and perform a "Full Scan" on the affected thumbdrive (G:\)