Realistically, ANY USB drive should work. Including what you have. I can't believe you don't own a USB flash drive. I've gotta have a couple dozen of them that I've gotten for free over the years.
Yes, the one you linked to is fine.
Make sure to format the drive as FAT 32 if it is not that way already.
This should work fine, and is a bit cheaper...
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Up to you what you get, but you really should have a USB thumb drive around to use on your computer and receiver as you want to.
BE AWARE: If you have a laptop, you can connect it using HDMI directly to your receiver to feed audio or video as you would like. I've never hooked up a USB drive to any of my devices for music or video playback. Instead, I ended up using Plex as a media server for both audio and video content.