If you read instructions that told you to specifically "burn" an ISO of Ubuntu onto a USB flash drive, it was a misuse of the word... in so much that the use of "burn" takes some liberties and makes some assumptions.
In relation to ISO files, to "burn" one means to use a program that makes a disc from the ISO file. This is not the same as copying or writing the ISO file onto a disc... where if you then examined the disc with Explorer, it would show the actual file with the extension .ISO on the disc. To burn a disc from an ISO file means to use software that will take the disc image, and turn it back into an actual disc. In a way, an ISO file is similar to a .zip file. It is a package that contains everything the original disc contained. So to "burn" a disc from an ISO file means to take that container, and open it back up onto a disc.
Now, the act of "burning" the ISO file to a USB flash drive, means to copy the contents within the ISO file onto the drive, not copy the actual ISO file onto the drive. It also takes into account that you will have to make the USB drive bootable, as if it was a bootable CD or DVD. Just opening the ISO file and copying the files over isn't enough.
As you can see here, the instructions for installing Ubuntu from a USB flash drive are a little more complicated than just copying the ISO file over to the thumbstick.
The Oneiric ISO file no longer includes a file called usb-creator.exe in the CD image. You need to download Linux Live Usb Creator.
Once you have usb-creator.exe, run it and follow the same steps as described for Linux (point it at your .iso file or your Ubuntu CD-ROM, point it at your USB flash drive, make sure you have the right device selected, then "Make Startup Disk").
Instead of usb-creator.exe you can use Unetbootin to create a bootable USB flash drive. http://unetbootin.sourceforge.net/
You won't be able to select the USB flash drive if it wasn't formatted in a way that Windows can see it. You may have to format it using Windows Explorer in order for it to show up in a creator tool.