OS X is not intended to do this out of the box, it doesn't work with
NTFS, which are wide spread file systems on USB Stick Drives, especially on Windows.
The solution which works like a charm for myself is to use Virtual Machine on Mac, with Windows 10 installed. I'm using Parallels Desktop, because of speed and tight integration with Mac. But there are also other options, alike VMWare or VirtualBox.
If you don't like the idea of having Windows virtualized, you may try to use standalone software, which is intended for mounting NTFS drives:
As @NetherLinks outlined in the comments,
FAT32 may also work on Windows, if you'll do the simple trick. Read below.
The Disk Utility advanced options of El Capitan are hidden and you
- Quit Disk Utility.
- Open the Terminal utility.
Run the following Command:
defaults write com.apple.DiskUtility advanced-image-options 1
Relaunch Disk Utility
And now, just format your USB with MBR Partition (Master boot record)
and exFAT file System.
The USB now can mount in OSX & Windows.