How to convert an lnk file to PDF on Mac?

The lnk file and the pdf file have nothing to do with each other.
The lnk is just a shortcut link to access the file more easily.

You need to put the .pdf file and not the .lnk on the USB drive (the lnk will be of no use to you at all).

I'm sorry to be all blue :)
When I replace .lnk with .pdf, the file actually becomes damaged.

The .lnk is useless. It's not a file with the data from your pdf
The .lnk file usually has a small arrow on its icon, the pdf doesn't have one (that's your file)

To find where your pdf is (the steps on XP):
Right-click on your lnk file and click on properties.
Then click on find target
You will see your pdf file, that's the one to put on the USB drive

Otherwise, another solution:
Open your pdf, and in Adobe Reader go to file / save as /
Select your USB drive and save.
Then you'll have your pdf on the USB drive.

.lnk files are Windows shortcut files
You need to copy the .pdf file to your USB stick and not the shortcut file .lnk