Re: To think that...
I had a similar problem, with a not-cheap laptop.
It turned out to be issues with whether the USB drive concerned is actually bootable, a 'fixed drive' or a 'removable drive'.
Windows would not make a bootable system on the Sandisk I had because it would not be bootable if it did.
I looked around for one that would do the job but actually bought an external USB DVD drive, for £11, which solved all the problems and the issue of not having a DVD drive too.
It turned out later that there was a small app you can download, mentioned here, the link it has is an executable file: download http://guysimplify.com/boot-and-run-dos-from-a-usb-flash-drive/
'Course, it might be your laptop.