People are naturally curious, so if they find a USB stick or one turns up in the post, they often plug it into a computer to see what is on it.
Don’t. Many are scattered around with malware or worse on them, while others with very convincing programs claiming to be on them are posted out that may well lock your computer.
It’s not worth the risk unless you have an old computer that you don’t mind losing everything and reinstalling Windows.
If you weren’t expecting the stick or any other device, just say no to plugging it in.