The sequence of events is the most important:
1. Get a micro USB-USB OTG connector.
2. Plug your USB flash drive into the connector.
Note that the Galaxy Tab S2 can not power larger applicances, such as external hard drives or SSDs, only USB sticks.
3. Plug the micro USB end of the connector into the Tablet.
4. The tablet should open My files and show you the file structure of the USB storage
If you run into any trouble, try to install the free app "OTG Status" from the Play Market to find out what's wrong.