I installed Ubuntu 12.04 on a USB drive via the Universal USB Installer, but it only gives me the option to install Ubuntu, not "try" Ubuntu. Is this not possible? The problem is, I don't have access to a CD burner.
Many people have problems with Universal USB Installer.
Try UNetbootin, it runs in Windows, or better yet try usb-creator, (Startup disk creator), the Live USB installer that comes with the Live CD.
Usb-creator.exe, (for Windows), can be extracted from iso's prior to 12.04.