If you are on a Mac, Macintosh/HD/Music/iTunes/iTunes Music. All the files are in that enclosing folder so you can drag that folder to your memory stick. You may want to check the size of your memory stick and the size of that folder. I don't have a ton of music and my Music folder is over 45 Gb.
You could also create smart folder of just the highest rated songs and export them to the memory stick. You can launch iTunes and go to File/Library/Export Library...
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