Welcome to the Commnuity..
Client Connected USB device feature is available in vSphere 5.0.
In vSphere 4.1 you can use Host Connected USB feature as a pass through device and assign the device to the VM
If I understand correctly, in ESX/ESXi 4.1.0 the USB Flash Drive can be connected directly to the host which would be the server, & in ESX/ESXi 5.0 a USB Flash Drive can now be connected to the workstation client. I will have to ask my Instructors if they have the ability to upgrade to 5.0. I also noticed no audio features in the Guest VM. Is that a similar issue to the USB Flash Drive?