You do need to set your boot order depending on your system configuration... this is done by pressing the <DEL> key during POST. This will allow you to enter the BIOS. Suggest you set your DVD (if equipped) and hard drive in the boot order.
Once set, you can use <F12> to select a one time boot option and select any device. This option is useful when you want to start the machine from another device that is either not the first device set in your boot order, or starting the system from a USB stick, just that one time.
The next time the system starts, it will use the boot order you saved previously.. but you can always use <F12> to make a "on the fly" change when desired.