@Appup: Try the following order, although as Nicole said order shouldn't matter since it just falls-through to the next option if one doesn't work.
- usb hard drive
- usb floppy
- usb diskette on key
@Nicole: I don't know about the latest BIOSes, but at least in the older ones support for booting from a USB device was accomplished via IDE emulation. This let the BIOS scan all the USB ports looking for actual IDE devices or devices that looked like (emulated) an IDE device. So, if a BIOS supported booting from a USB floppy drive, it looked for a real USB floppy drive or any device that could emulate the behavior of a USB floppy drive. Similarly for USB hard drive emulation and zip diskette/drive emulation (thus the 3 options above).
The poster must just be confused about why all these separate options exist, and which one s/he should select. Shouldn't assume that everyone's done this before, you know. :)