Hello @gxulien and Welcome to OpenMandriva and the OpenMandriva forum.
The advice above from @jclvanier is excellent.
It would be very smart thing to read the Release Notes and Errata for Lx 3.03 before attempting to install. Pay special attention to the ’ Recommended Hardware’ section.
First thing I would try is simply to try to boot that USB stick. As @jclvanier stated you will have to enter the computer BIOS to select that boot option. Here’s how to do that:
Before your computer boots your current operating system (Windows, Mac, Linux) you should see your BIOS loading screen. Check the screen or your computer’s documentation to know which key to press and instruct your computer to boot on USB (or DVD).
Note: Most BIOS have a special key you can press to select the boot device and all of them have a special key to enter the BIOS configuration screen (from which you can define the boot order). Depending on the BIOS, these special keys can be Escape, F1, F2, F8, F10, F11, F12, or Delete. That information is usually briefly written on the screen during the boot sequence.
Please let us know if you have any difficulties or there is anything you don’t understand and someone here will walk you through this. And don’t worry we’ve all been in your shoes at one time or other. Also remember once you do this one time successfully you will realize that this is way easier to do than it to write “How to do it”.
The quotes above are from this.