Original User: mbockenhauer
Diego,
Make sure that when you create your layer file (MXD) all of the data is in a folder, not at the root C: drive or other letter level. From you first screenshot. If you copy the "New Folder" on to the USB drive. The Layer File within should work fine off of the USB. A parent folder is needed for the relative paths to work, as the relative paths in the MXD contain the parent folder in them. When you copied the contents of the folder to the USB, the parent "folder" is the E drive. This will not work.
Drive partitions will not work as a parent folder for a relative path. So, I think you were really close to having it, just copy the folder with all of the relative pathed content it contains to the new location where you want to use it.
Also, from ArcMap 9.3.1 and later, you can create layer packages and these will work in ArcGIS Explorer desktop as well.
Mark