MS says...

Create a USB recovery drive

Your PC might have come with a recovery image that's used to refresh or reset your PC. If you run into problems with your PC, a USB recovery drive can help you troubleshoot and fix those problems, even if your PC won't start.

The recovery image is stored on a dedicated recovery partition on your PC, and is typically 3-6 GB in size.
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I thought that was odd but I did not read any further, I went to Future Shit and bought a flash drive for $6.99 plus tax.

I ALMOST made a recovery drive. The Wizard said my flash was too small and that I needed "at least 32Gb". I had to go back to Future Shit and buy a 64Gb drive but it WAS on sale for $39.99 AND they EVEN gave me the penny back instead of rounding up from $45.19 to $45.20!!! Ain't I lucky? Must be on accounta I am Irish and it's a special day for the Irish and us Irish decendants.