Not to worry, this should be straightforward. Although feel free to ask again if the following method does not work.
Firstly, find out the drive letter that your USB stick is. Let's say for argument's sake that it is the F drive.
Go to the start menu, and search for "run". Open that and type CMD. Depending on your Windows version, you can simply type CMD into the search bar and open the Command Prompt.
When this is open, type the following, without the brackets: [Chkdsk F: /r] Also remember that I am using the letter F as a reference, yours may be another but you can find it in My Computer.
Back to the point, when you have pressed enter, it will start repairing damaged files and you will see some of your filenames (relief!) before it finally asks if you want to save lost chains into another location. These are essentially remnants of damaged files, I tend to click "Yes" just in case.
You might be able to recover those files if they are not overwritten. What you need is a Application that can rebuild the Partition like iBoysoft Data Recovery Program which is
a little bit expensive but effective.
Moral of the story: Backup your important files, and for the love of God don't keep the only copy on a flash drive.