Now that you downloaded your .iso file, it is time to image the OS to your thumb drive. You can not simply move the .iso file to your thumb drive, but you would use an imager software such as Balena Etcher. You would open the program, select the .iso file you wish to image on to the thumb drive, and select the thumb drive. If you have multiple thumb drives connection to your computer, I will recommend unplugging the drives until the installation is complete. No matter what, any imager software will format your thumb drive destroying any files that were on the thumb drive. Be sure to move the important files from the thumb drive to another drive. Once you selected the .iso file, and drive to flash to, you would select the Flash which will start the process. All imager software will do the same thing.
If you do not know where your .iso file has downloaded to, check your Downloads Folder. Since you should only have 1 thumb drive in your computer, it should be easy enough to find the right drive to image to, Again, keep in mind that your drive will be formatted, and no previous file will be recoverable. Once you imaged the .iso to the thumb drive, keep it installed for the next steps.