I think what John is running into is the UEFI Bios. With most Win10 machines
these days there aren't any prompts for BIOS setup. You usually see the
manufacturer's logo and then a windows logo, and then the system boots.
You usually have to be really quick with the setup key press. Once you find
your way into setup you'll have to put the device in legacy mode or disable
secure boot I believe to be able to boot from the USB.
At least, that's the route I usually take on a Dell.
Also of note is that Win 10 doesn't shutdown completely normally and you need
to do a full shut down usually to even get to setup. Sometimes ill just boot
the machine and hold down the power for a few seconds to force it off so I
know it's been killed.
Hope some of this helps!