Create a new folder on the USB drive and simply copy the contents of the Share from the My Cloud to the new folder on the USB drive.
If you are moving a large amount of files then its best to either use SSH to initiate the copy from the My Cloud to the USB drive, or use one of the WD programs, software, apps to do so. If you attempt to use Mac Finder or Windows File Explorer to copy a large amount of files to or from a USB drive attached to the My Cloud the copy process will be, for the most part, very slow. A similar question was asked a few days ago were copy methods were discussed. May want to see that thread.
https://community.wd.com/t/copy-files-from-mycloud-disk-to-usb-disk/154139
