Boot From a USB Flash Device

I have a 4GB thumb drive that I want to make bootable, but so far I have failed in all my attempts.

I have followed the instructions carefully here: http://www.pendrivelinux.com/2007/09/17/testing-your-system-for-usb-boot-compatibility/

After setting up my USB drive I proceed to reboot, I hit F12 to get into the Boot Menu. I select "USB Flash Device" and then ENTER, and I get the message "NTLDR is missing, hit Ctrl+Alt+Delete to reboot"

What must I do to make it bootable?