Removed the USB to fast

As some of you know, I’m doing a lot of video gameplay recording at the moment using Hauppage HD PVR Rocket. I have been recording straight to a USB stick with no problems until now.

What “I think” has happened…

The USB stick got full then it stopped recording obviously, I then went to pull out the USB stick to transfer it to my LapTop. Attempted to play back but it said "Windows has encountered a problem with the file and can not playback."
I noticed there were also some additional files on the stick which are not normally there. I can’t identify what file types they are yet as all but one of them are reading at 0kb in size. These odd files also match the main .mp4 file’s title which by default is just the recording time/date. But unlike the .mp4 file, they display the date/time and also 4,3,2,1 etc…

I think I pulled the USB stick out before it had chance to finalise the footage. If I’m correct this would mean that the file isn’t corrupted, just incomplete and needs to be finalised by adding/combining these misc. files.

Can anyone assist further with their thoughts or suggestions to correct this problem? I don’t want to lose this footage of possible.

I hope this makes sense, sorry if it doesn’t.