I've been searching for more information about this and have found posts by others that this is something that is supposed to happen upon the first reboot with the USB key. They show a conversation screen option being present as follows.
Code:
"No file for saving personal data has been created on this device yet. If you wish to do so now,
please enter desired size in MB (minimum 200, free ####). If you don't want to create a file for
saving right now, just leave the field empty."
I never see this conversation upon rebooting my PC and I am unable to find any explanation as to how this conversation screen is initiated, if that is the case.