You will need to keep the sd card in the wii, cause when you select the Usb Loader Gx it's looking to the sd card to load the app up.
The USb Loader Gx is just a forwarder , it is not a full channel....this method saves you space on your wii nand.
You should also use wii backup manager and the games should be in a folder called WBFS......You do not need the game to be in another folder called Brawl.
Re-format the cruzer and go to the fat32 Guide to get that program or just follow that guide period.
This should fix your problem.