On PCs, this usually involves pressing a button such as Esc or F12 immediately after you turn on your computer, while on Macs, you should hold the Option key before OSX boots. If you used the 'USB Drive' install mode: After rebooting, boot from the USB drive.
If your USB drive doesn't show up, reformat it as FAT32. Select an ISO file or a distribution to download, select a target drive (USB Drive or Hard Disk), then reboot once done. It loads distributions either by downloading a ISO (CD image) files for you, or by using an ISO file you've already downloaded.
UNetbootin can create a bootable Live USB drive
You can either let UNetbootin download one of the many distributions supported out-of-the-box for you, or supply your own Linux. UNetbootin allows you to create bootable Live USB drives for Ubuntu and other Linux distributions without burning a CD.
