You won't see a usb boot option until you plug the pendrive ( before you turn on ).
It also won't directly boot from ISO, you need to have either used the microsoft tool I linked to create a bootable pendrive, or use rufus https://rufus.akeo.ie/
to make the iso into a bootable format on the drive.
I can't wait to actually be back around windows rather than Apple... People on here hate it, and I'm slowly coming away from it but it is still completely integrated into my life. Its ridiculous.You can't beat the feeling you get when a pc you've built yourself works perfectly
You can't just copy the files to make it bootable, it needs an actual boot sector writing, which needs to be done by a program.
If you've downloaded the windows installer files, there should be an executable in there, to run to install it. run that, and it will ask if you want to upgrade the computer now, or create installation media. Select to create media, and it will ask you to insert a usb drive of an appropriate size, and warn you all the data will be zapped. You say yes, it makes it bootable.