Connecting Wireless Media Drive to Computer

I’m trying to add files from the Mac to the media drive. What is the best way to connect? The manual simply says to connect it and drag, but there was no USB micro cable in the box with the drive. Is that a separate purchase? When I connect through wireless, the drive does not show up on the Mac. However, I am new to the Mac, so maybe I just don’t know enough about that, tho I haven’t had any trouble connecting other devices. They all show up on the desktop.

What’s the process for connecting to my Mac?  Thanks!