Download Unetbootin for Windows and try that:
Before going ahead and making the Bootable USB, it's always a good idea to check the md5sum of the iso that you downloaded:
This can save you a lot of grief later if it turns out the download was corrupt
Edit: @emersonhsieh, I think the LiveUSB must be formatted FAT to be able to boot off it.
@ Chris Mine had fat32 but it didn't work. after I reformatted it to ntfs it didn't have the error message.
@eversonhsieh: I have come across situations where the partition table put on the USB stick by the manufacturer causes some problems. The solution is to delete the partition table completely, remake it, and re-format FAT.
I'm adding this as another edit, because my comment below seems to get hidden by a "show more" link. I think it's important enough to put it here in clear as it's caused a problem for quite a few people, myself included:
Ok, I've just verified this problem with Unetbootin and Ubuntu Startup disk creator on a Verbatim 2Gb drive. The problem is the partition table that the manufacturers put on the devices. Perhaps it's not marked bootable, or has something non-standard in there. The solution is to remove the partition table on the device, and remake a new partition table. You can then create a new partition and format it FAT32 and it will work. Chris