Boot device menu is usually accessed by pressing and holding F2 as soon as boot process begins, but from what you've told me in your second post it looks like your motherboard doesn't support booting from a USB device anyway.
If it did, there would be a "USB" option under the 'Boot' tab in BIOS Setup.
The Boot Device Menu would show only the same devices that are under the 'Boot' tab in the BIOS, only difference is the Boot Device Menu is a "one off" event. It doesn't make any changes in the BIOS.
You can only boot from the hard drive or from a bootable CD. Shouldn't be any problem to create a Linux Live CD from a CD Image.