Why would he want to export to a flash drive, when he did not ask that.
He stated:
How do I import my photos into Photoshop? I store my pictures in Windows Live Photo Gallery.
Since all the images are located in the pictures folder the answer Semaphoric gave is the correct answer. Using File>Open will allow photoshop to browse to the pictures folder.
Windows Live gallery is nothing more than a thumbnail view of the images stored on the hard drive. Any file viewer like windows explorer can see these images where they can be copied, moved, or deleted. Since Explorer can see them, so can any other windows program.
In other words the images are not I repeat not stored in Windows Live Photo Gallery.