I am working from memory because my Grom instructions are out in the car in the garage and its raining and I am lazy so....
Have a look at the instructions, particularly the file set up. Did you load the five .mp3 files in to the root directory of the USB stick? If so, that may be confusing the USB drive because at that level it is looking for directories, not files. All of my USB sticks are set up with 6 directories in the root directory with up to 99 files in each directory (the sub directories correspond to each CD). The Grom may be looking for the 6 directories (might work with less - I haven't tried). Try creating 6 subdirectories with one file in each (duplicate one of your files to fill the 6 directory).
Did you plug the Grom into an already powered up head unit? That may not work because the head unit may not be recognizing the Grom. Power up the head unit after the Grom is connected
If the above doesn't work. With the Grom disconnected, power up the head unit, switch to radio and then turn everything off. Connect up the Grom with the radio unpowered and then turn the head unit on. Switch from radio to CD. You should hear a voice say "USB". If you don't get that read through the instructions about mode set up. Its been 7 or 8 years since I did this; but, I recall a little drill you had to go through to cycle through 3 modes in the Grom to get it to work. I did it once at the start and haven't done it since so the specifics have disappeared from my volatile memory.
If you don't get the voice then it is possible that the Grom might truly be dead. Definitely read the set up part of the manual because I am fuzzy as to when the voice appears. I know that if you don't cycle through the modes at initial power up and select the correct mode at the right time it won't work. Also, check the instructions because the voice feature may no longer be on the latest versions of the Grom.
Finally, if you get the voice and your USB drive is set up with the 6 directories, check the light on your USB to see if it is trying to read the files. The USB extension cable might be faulty.
Based upon your description of the problem, my initial gut reaction is that file structure is the cause of the problem. When I connected mine up with a USB stick with 6 directories I think I had about 5 minutes of set-up and that was it. @TomCat has a more recent version of the Grom so may be able to advise on whether the set up procedure has changed
Thanks Miner and Old Guy for all of your suggestions and assistance. Firstly, I found that my USB stick drive was not formatted. Fixing that I can now hear music through the GROM adapter from the USB stick. However, it's not mimicking the CD changer controls. It may be the way I set up the files on the stick. I created six files and downloaded three .mp3s into each file to simulate 6 CDs with three songs on each. From selecting "CD" as source from the head unit I can access all of the .mp3s but not in as controlled fashion as with actual CDs. For instance, if I start at file 01, track 01 and toggle through each track it'll move track-to-track sequentially like it should. However when it goes to the first track of file 02 the head will still show "01" instead of "02" as the selected "CD". And so it's difficult to tell where I am in terms of which file/track is playing at any given time. Also I never hear the voice say "USB" when I switch sources. I know it's there (somewhere) because I heard when I was first experimenting with the adapter setup.
The other accessory that I did buy and attach is the bluetooth dongle. Again with mixed results. I was worried that because I installed the adapter in the trunk that the bluetooth signal would not be able to be picked up in the cabin (through the engine compartment!). However, it does make it through and I can play applications like Pandora from my iPhone. Application priority is phone calls first then Bluetooth apps then USB when bluetooth is on. If you hang up or or turn off your bluetooth (like Pandora) app then the USB picks up where it left off. The downside to the trunk connection is that the phone mic (that comes with the dongle) has to be plugged into the bluetooth dongle. This means that even though you can receive the call through the head unit you can't talk unless you switch back to the phone as a standalone . In summary to use the phone as true hands-free then the bluetooth dongle needs to be located in the main cabin so the wired mic can be used appropriately.