You need to download a program that can properly put the installer onto a memory stick. You can't just copy the .iso file onto the memory stick.
Plug-in your USB memory stick.
Go to www.pendrivelinux.com/downloads/Universal-USB-Installer and download the Universal-USB-Installer.exe file. Put it on your Desktop or somewhere convenient.
Double-click the file to run it.
Click I agree and you will be taken to the Setup Your Selections screen.
Under Step 1, choose Ubuntu 10.04 Desktop i386and uncheck Download the ISO.
If Ubuntu 10.04 Desktop i386 is not in the list, return to www.pendrivelinux.com/downloads/Universal-USB-Installer and download the Universal-USB-Installer-v1.6.0.exe file.
Under Step 2, click Browse and select and open the .iso file you downloaded earlier.
Under Step 3, select your memory stick from the list (make sure you choose the right one). Check the box next to the list to say that you want to format the drive.
Click Create to put the installer onto your memory stick. The whole process should only take a few minutes. All of the files on the memory stick will be erased.
When it has finished, close the Universal USB Installer window and safely remove/eject and unplug your memory stick. This is necessary to make sure all of the files were put on the memory stick properly.