When you start your computer you must make sure it tries to boot from your usb, rather than from your hard drive. You can try booting it with the usb inserted, if it boots (windows?) as normal, you have to enter BIOS.
Entering BIOS is done by pressing "delete", F10, F1, F12 or something like that (different computers uses different keys). Once you're in BIOS you can navigate with your arrow keys, to something like
advanced settings -> boot options -> primary boot device
This too looks slightly different on different computers, but the idea is to have the computer trying to boot from usb before hard drive. (Don't forget to save your settings in BIOS, don't just turn it off while done. This is also done in the menus somewhere.)
Once you have these settings correct, it should boot from your usb. If it doesn't there is probably something wrong with your live usb setup. I would recommend using a program like this:
to create your live usb.