USB On The Go. A small cable which let's you connect a full-size USB device to the phone's microUSB port (male microUSB connector one end, female USB connector at the other). You can pick them up for a few £/$/etc.
The One is capable of mounting low-powered USB storage devices, such as memory sticks, if you have one of these cables to connect it. Recovery programs can access this, so you can make backups to a usb key, or install zips from one. So if you can get one of those cables, just copy the zip onto a usb key, boot into recovery, go to install the ROM and select usb storage as the location. Really worth having with this phone.