I have started the Computer a few different times and tried holding the shift key, Nothing happens then I tried the space key and it just beeps at me. I can get into setup with F2 as it is booting though
When your computer is turned on it does a couple of tests to see if it all good to go and boot an operative system, those are called POST (Power On Self-Test).
The trick is to press the Shift key, right after POST and right before your computer would load Ubuntu. If you do it during POST there is a big chance it will be ignored when that if over and it just loads Ubuntu as nothing has happened.