It seems the USB device is not being recognized. You must use the full size USB port (eSATA/USB combo port). Go to the Playback screen, then to Settings, this screen has a list of storage devices that will show any valid drives that are attached. It updates every few seconds, so give it some time after plugging in the drive. If your drive is not showing up in this list, something is wrong. Have you tried other USB drives from different manufacturers?
The camera does not currently work with exFAT, you need to use FAT32 formatting.
David