Should not need any program. Connect your flash drive and it should show up on your desktop. Simply locate where the cdg files are, then either drag and drop or cut and paste the cdg files into the flash drive.

To find your cdg files, either do a computer search for files and folders with .cdg as a search title. Else, if you used a gnutella program to download these, find where it normally downloads files to (the download folder.)