As previously said by Atari, CdUsb.Y is a flag file without Content.
At startup, it is used to identify the CD/USB drive and remount it on Y drive.
To create shortcuts or start a program of that drive...
If the drive is not recognized at startup, Remounted on Y or not, shortcuts can not be created.
And that, regardless of the tools used to create the USB stick/disk.
The yellow warning triangle sortcuts on desktop is here to inform of this anomaly.
I have no comment with CD/DVD by cons there are some worries with some hardwares and USB3 disk.
It seems to be related to drivers for those who have resolved the problem (eg: Surface Pro, Dell Venue Tablets
http://theoven.org/index.php?topic=1077.0) or Bios setting.
You can try perhaps with a USB2 stick.
Or try to find drivers manufacturer if they do not use default microsoft drivers and add them with driver integration plugin.