I have Illustrator CS2, and work on a Toshiba Notebook in Windows. I have a Corsair 'Thumb'

When I save a file to the Thumb all my layers flatten. An option screen comes up and the 'link to' row as well as the next row, are grayed out. I check the box next to 'compression' and sometimes the first box (there are four).

some of the layers save, and others don't. Do I need to have more than one 'new layer' (even if there are several sub layers inside one layer)