I am testing settings in Adobe Premiere Pro CC 2014 and the media encoder produces 4 files:

MP4 Video
Wave Sound
XMP file
XMPSES file

When I play the MP4 Video file back from Windows Explorer via Windows Media player I get video but no sound. When I play the Wave file I get audio but no video. When I burn to a Blu-Ray disc will Encore combine the two?

Yes, that's the point. You load both in Encore and it does the Blu-ray complaint multiplexing.

Thanks for the clarification. The other presets I tried H.264, and H.264 Vimeo 1080p preset, both produced files I could play back on media player.

confused me the first time too!

Thanks for the clarification. The other presets I tried H.264, and H.264 Vimeo 1080p preset, both produced files I could play back on media player.

While you could use these too, Encore would need to re-transcode them to be Blu-ray compliant.

What preset would you recommend if I wanted to place the file on a USB drive?

For h264 distributable I tend to run things through Handbrake instead, you get better looking files that are also smaller than anything Media Encoder or Compressor produce.

If you're not aware of Handbrake then the best thing about is it's a free download.

If using Handbrake, don't you still have to export from Adobe Premiere first to your hard drive? What preset would you use for that file (that would be imported into Handbrake)?