While the majority of computers boot from a USB Flash drive simply by setting the boot order as described here, some computers, such as the HP Compaq DX2400, don't support booting from USB flash drives. This can be confusing because they may even have an option to select in the boot order to boot from a USB drive. But this is referring to an actual USB HDD and not a USB flash drive. So, the Xtra-PC USB device is detected as a HDD and not as a USB flash drive. You should see your Xtra-PC USB device listed in your detected HDDs in the BIOS, and most likely it will be a lower priority than your internal drive.
To work around this limitation, look in the BIOS setup for something like "HDD Priority" or "HDD Boot Order". If it is recognizing your Xtra-PC USB device as a HDD, then setting it to boot from USB first in the boot order will not work. Instead, change the boot order to boot from a HDD first, and then set your Xtra-PC USB device as the first HDD in the HDD priority list.