OK, I'm willing to have another go.
After you download your movie to iPhoto in the All Photos view you can just drag the movie from the iPhoto viewing screen to your desktop. It may take a while dependent on size to T/F.
Now you need to convert it to a format the pc can read.
There are numerous apps to do that but I use Smart Converter (available free from the App Store)
Open the app, select desktop, choose the m4v movie (or just drag it to the window). Once loaded choose format from the More Button bottom right, in your case Microsoft Windows. You can also change one of the default buttons to Microsoft Windows in preferences > conversions later if you do this a lot. (in the picture I have already done that)
Click convert. The converted movie will be by default in a folder called Smart Converter but you can choose a destination (Including your Thumb Drive) with the lower left button. Or just drag the converted file from the Smart Converter folder to your thumb drive icon on the desktop.
I do this two or three times a week and I invested in Smart Converter Pro but the principal is the same with the free version. I download movies in .mkv or .avi and convert them to DivX, drag them to a thumb drive formatted for FAT32 and plug an play them on a DVD player with USB input.