Obviously, you need search all the drives of the file system of your computer, if you do not know which drive the file would be, regardless it being USB (removable) drive or not.
You can use the static method of System.IO.DriveInfo.GetDrives() to get a list of all available drives, and search each of them until you find the file. With DriveInfo class, you can tell what type of the drive is (fixed. removable, network...).