Depending on how new your firmware is, you may have to activate the USB host. It is disabled by default as a power saving feature.
If you've received your Pandora recently (the last month, maybe two?) or have upgraded yourself to SuperZaxxon manuall, then you should see an icon beside the wifi icon in the lower right-ish. Clicking that brings up a menu, such as enable/disable wifi, bluetooth, and USB. Enable the USB and it should be fine.
If that doesn't work, or you don't have that option, we'll need to troubleshoot further. Hopefully that's the problem.