It's sometimes harder than you think to boot a computer from a USB stick. It takes two non-trivial skills to pull it off:
I do not discuss in this post how to create a bootable USB stick, but you need to ensure your USB stick is bootable. I have a stick that I know for sure is bootable: my SpinRite USB stick. I have created it on Windows 10 using the inbuilt SpinRite feature, but Steve Gibson offers a freeware that does only that: https://www.grc.com/bootable.htm. However, SpinRite uses the BIOS (or BIOS emulation) to boot, and sometimes you need a UEFI-compatible boot device. If I have an Ubuntu system available, I would use Ubuntu's Startup Disk Creator and write an Ubuntu image to the USB stick. This has been in my experience a reliable way to make an UEFI-compatible, bootable USB stick. Ubuntu has a strong incentive to make USB-booting from contemporary devices work, since without it, nobody could run Ubuntu on Windows PCs or Intel Macs.
Similarly, SpinRite relies on booting from a USB drive (or CDs or floppy disks, which are no longer commonly used). Hence, there is an exhaustive treatment on the topic of making bootable USB sticks on the SpinRite site (https://forums.grc.com/forums/booting/).
Selecting the boot device
What is the hotkey for your computer model to select an alternative boot device other than the default? It seems ridiculous that we can standardise the plug we use to charge our mobile phones, but there are a gazillion ways to select the boot medium when you start up your computer. On my Lenovo, I have to press F12 at the correct time after pushing the power button (or press repeatedly every second to catch that moment). If you are successful, you will be presented with a list of possible boot devices. My UEFI setup utility (which I incorrectly will continue to refer to as BIOS in the following) lists USB sticks as "USB HDD: Generic USB Device". BTW: My Lenovo ThinkPad X390 has a N2LET98W UEFI BIOS.
Configuring the BIOS
Sometimes, you don't even get that far. Alternatively, you can select the USB HDD option, and your computer attempts to boot from the USB drive, but fails and returns to the boot device selection menu. In that case, you need to enable booting from USB somewhere in the BIOS. Finding that place is not always intuitive; the user interfaces of most BIOSes and pre-boot environments have not matured significantly over the last 40 years. No error messages, no meaningful help, nothing. Some vendors (like HP) have changed from the DOS look to a more graphical look, including some mouse support, but I have not found these BIOSes to be easier to navigate (but maybe that's just a me-issue).
Switching of Secure Boot
Notably, the increased security features make it nowadays more likely that your current BIOS settings do not allow you to boot from a USB stick (or from any other external device, for that matter). So you probably need to disable Secure Boot.
Enabling legacy boot and CSM support
If you want to boot a SpinRite-USB stick, you likely need to enable "Legacy support" and "CSM support". The option to enable it was greyed out (under the section "Start"). The BIOS told me that Legacy support is "Unselectable for Kernel DMA Protection". Conveniently, I had to start hunting for that option. Who would have predicted that it is under the "Virtualization" section? When I turned the Kernel DMA Protection off, it told me that it would change automatically some other security settings that are necessary to make the change. Duuuh, why didn't the BIOS developers deploy the same strategy for enabling legacy boot and CSM support? USB devices show up as three different entries in my BIOS (USB-HDD, USB-FDD, USB-CD). I guess USB sticks are treated equally to external hard drives, but differently from floppy disks (USB-FDD) and external CD/DVD drives (USB-CD).