I could swear I had to format the pen to ext2fs last time I installed firmware blobs with the method you describe.
However, you do not need to download/install the firmware from a pen with that process, and in fact I do advise another course of action.
Whilst the booting asks for it, when you have the needed drivers in the Debian repos, the best course of action is installing from there. If you install the firmware from the Debian repositories, it will get accounted for by the package manager and will get updates also. From the security point of view, you also have the added bonus of knowing you are downloading the binaries from a trustworthy source.
In jessie firmware-iwlwifi / non-free the (https://packages.debian.org/jessie/firmware-iwlwifi) package has the iwlwifi-7265-9.ucode iwlwifi-7265-8.ucode firmware files, as it can be searched using https://packages.debian.org/search
You will have to setup the non-freearea if you do not have already in /etc/sources.list
Example:
deb http://ftp.us.debian.org/debian/ jessie main contrib non-free
Then run:
sudo apt-get update
sudo apt-get install firmware-iwlwifi
Then you reboot, and will have the device ready to be setup and used.
Alternatively, if you are not able to connect to the outside (only having an wifi card), you can download the corresponding deb file in another machine, whose link you will find again in https://packages.debian.org/jessie/firmware-iwlwifi
So at the moment, the link points to in debian.org: http://ftp.us.debian.org/debian/pool/non-free/f/firmware-nonfree/firmware-iwlwifi_0.43_all.deb
Then you would copy it over using an USB pen to the linux machine, and install it using:
dpkg -i firmware-iwlwifi_*_all.deb
Finally, reboot.
Best Answer
See the relevant section in the installation manual.
To answer your questions in more detail: