Holy cow, I wrote a book!
You have to promise to play friendly.
Go to Device Manager and set the policy of the USB Stick device to
"Optimize for Performance". The default is to optimize for Quick Removal,
which restricts you to the FAT filesystem.
If you do this, then you absolutely must go through the
the annoying removal dialog
to unmount the filesystem before unplugging the drive.
If you don't, then you have a good chance of losing data.
[Raymond is currently on vacation; this message was pre-recorded.]