Hello,
Specifically which MDO oscilloscope do you have?
I would speculate that error message means the Save Target is set to a USB drive that was removed and that is what the error message indicates. Change the save target to the local drive or insert a USB and target that flash drive.
Once you tell me the scope model I can investigate options for mounting network drives. On my 5 Series I mounted a network folder that was shared from my PC and use that to transfer Session files and logfiles back and forth.
Another option for transferring files is to use PI commands. You can investigate the FILESystem: PI commands in the MDO Programmer manual to see options.