Unable to get my PC to boot from a USB drive

Hi,
I'm trying to boot my PC into a Linux OS on a USB drive.
From within Windows, I pressed the Windows key and then, while holding the shift key down, I selected restart. This presented me with the option to select a device to boot from. I selected IPv4 and then let it restart. A message came up saying it was checking for available hardware and then it booted into Windows. So, I restarted again, pressed F12 to enter the BIOS, and then set IPv4 to the #1 position, but still it loaded Windows. It used to be possible to select Removable Devices in the BIOS but that is no longer available. I only get the options of Windows Boot Manager, IPv4, or IPv6.

Should I have selected IPv6? If not, what am I doing wrong, please?