Ubuntu Live: To Try Ubuntu 11.10 boot into the USB Drive. The first screen you come to will ask if you want to "Try" or "Install" Ubuntu.
Boot Order: You might need to change the boot order on your system to boot off the USB drive and not the local hard drive. Watch when your computer is booting up. Some systems will allow you to select the boot order without entering the BIOS by pressing a Function key (ie F9). Other systems require you to enter the BIOS to change the boot order.