it's a little trickier than you'd think, but not as tricky as you'd think.
and i think my particular problem actually was a drive geometry problem. these pages helped me quite a bit:
(i can't post links until i make 3 posts. how stupid. t-minus 3..)
in the end, i'm still not quite sure exactly what i did to get my flash drive booting into slax. some steps i remember taking:
-- make sure your geometry consists of 32 sectors/track (otherwise syslinux won't recognize it as a fat16 drive and won't alter the mbr, or add ldlinux.sys, etc. it'll let you know it's not working though)
-- make sure you have your vmlinuz and initrd.gz files properly linked from syslinux.cfg.
-- oh yeah, you also need to rename the isolinux.cfg file that comes with slax's .iso file to syslinux.cfg in the root directory, as well as putting copies of vmlinuz and initrd.gz files into the root directory. after that, make sure you edit syslinux.cfg to point to the versions in the root directory.
if you mean that the bios skips over the usb device, i think that sounds like what happened before i altered the drive geometry in my scenario... just be sure to copy down the original c/h/s settings so you can undo it if you have to.
if you can run syslinux /dev/sdXX to point to your boot partition on your flashdrive, you will be able to see if it's bootable or if syslinux doesn't like the geometry/settings of your partition.