The application is either a standalone application or an applet in the Control Panel. Toshiba, for example, does this with some of their laptops. N.B.: Some laptops allow you to set the boot devices using a Windows application. Sometimes the PC will display a message telling you which key to press.) (,, , and are all alternative keys that may be used here, depending on your model. Once this is done, restart your PC, and go into the BIOS by pressing the button on your keyboard.BAT or CONFIG.SYS file and they use absolute path referencing to the A: drive, this could be a problem.
Copy all of the files that you put on the A: drive earlier on to your thumb drive. You will have to create a bootable USB drive. Boot sectors contain the information needed by the BIOS to enable it to boot using the device.