e connected to the computer BEFORE you run the application. Otherwise the program might not read the USB.
The process of creating the unit can take a good amount of time. Typically it won't take more than 10 minutes, but it depends on the options you choose.
PE Builder is a powerful tool you can use to create a boot drive. It's also easy to use, and with it, you can have a USB boot disk ready in a matter of minutes.