Boot issues often come from the motherboard rather than from the USB device. Be sure that you have tried every options called "USB-SOMETHING" in the boot menu.
VirtualBox is motherboard independent, so if you can boot your USB key with VirtualBox and you can't boot directly from the USB key, then it is clearly a motherboard issue.
If even VirtualBox does not boot your USB key, then try the following:
- Reinstall using the latest version of LiLi
- Format your USB key using HP USB Disk Storage Format Tool
- Open the last LiLi's log file and run the "syslinux.exe" command again