You cannot report on files copied from USB to computer.You can use location based tagging rule to tags files copied from removable storage and CD/DVD devices to the computer. You may use this tag on protection rules to enforce block/monitor etc. reactions.
This will at least report on files that the user copied from the USB and tried to send out.
DLP is Data Loss/Leak Prevention. Data coming to your computer is not considered Data Loss/Leak.