Usually, external drives such as a USB flash drive get the error of Please insert the last disk of the multi-volume set. If you get this error when you insert a USB drive or any other external device in a Windows PC, you may want to check if it was earlier inserted into a MAC system. In such a case, you are likely to get the error. It happens because a Mac PC or Mac OSX creates hidden files on FAT32 formatted drives. Amongst those files, a few zip files are also created on the drive. Most of the time, these files cause an error message. Corrupted zipped files can also make this error appear.  Another reason could be an issue with the USB controller on your PC. The problem with the USB controller may also cause the error message of Please insert the last disk of the multi-volume set.