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Okay... so in stand-alone mode, the USB drive should certainly be formatted FAT32 with music exported to it from rekordbox. You can link the two players to each-other via ethernet cable and you should be able to load. If you have a "no USB" problem, please try using a different make/model USB drive as it could simply be a compatibility issue. If that same drive works in one XDJ but not the other, it may be the USB port is damaged.
To use the DJM and XDJs in performance mode with rekordbox, connect them all via USB to your computer (the DJM should connect directly, the XDJs can connect to a USB hub), and set the DJM as your audio device within rekordbox, configuring the output channels as desired. On the XDJs themselves, you'll select "MIDI" and then on the screen you'll choose which deck each unit controls.
Easy as pie!