USB not showing on boot menu

I am not aware of any Pentium 4 era machines that could boot from USB. So USB is not a solution in your case.

Your BIOS shot shows that the CD-Drive (optical drive) is set to boot first. Can you describe what is happening when you try to boot from the CD?

• With computer on > load the Windows XP CD into the optical drive > close any autorun windows that open (If there is a Windows installation)
• Now restart the PC, or press the RESET button on your computer case
• Watch the screen as the system boots. Look for the text that says "press any key to boot from CD" > press any key

If the process does not happen as above, please try and describe exactly what does or does not happen.

I am not aware of any Pentium 4 era machines that could boot from USB. So USB is not a solution in your case.

Your machine will boot from a floppy disk. If you want to burn up some time and experiment with it, you can set up a USB stick to emulate a floppy disk drive. See here:
How to create and use a bootable USB memory stick as a floppy drive replacement

How you get from there (booting the USB floppy disk with core commands) to installing Windows on a USB stick is going to be a trick.
Windows XP was not designed to install from floppy disk as far as I know.
Perhaps you can start at the "floppy disk", find the USB stick with Windows on it, navigate to setup.exe, and run it.
If you get this to work please tell us the story!