Nothing nasty is going to happen simply because you plug it it. If you're really worried, as soon as you've plugged it in, right-click on its icon and look for an option to scan it with your security software.
Personally, I wouldn't bother though. As long as you only open files with familiar file extensions (such as .txt, .doc, .docx, .xls, .xlsx, .odt, etc) nothing nasty's going to happen. Even if you were to accidentally try to open, say, a dodgy .exe file, Windows wouldn't let you proceed without asking you first if you were happy to do so.
At one time there may have been a real risk from using USB sticks when you "don't know where they've been". These days there simply isn't. (That's why internet cafés, public libraries, etc are all perfectly happy nowadays for people to use their own USB sticks with their PCs).