Booting from a pendrive (or USB thumb drive) depends on two things being possible:
1. Your computer supporting USB booting.
2. Your pendrive supporting USB booting.
If either of these are not true, you will not be able to boot from your computer / drive. To determine if your computer supports USB booting, search for a mention of it in the boot devices order, or see if it is listed under the hard drives when you plug it in. If it is not, your BIOS probably doesn’t support it, and your project of booting on this particular computer is over. Determining if your USB drive supports it is more difficult. Most drives of 1 GB and over support it. If you try the later steps repeatedly, and they still do not work, your drive may not support it.
Now, making your drive bootable depends somewhat on what it actually is you want to boot. If you want to boot a small Linux distribution, you will want to use Syslinux. Syslinux is very similar to GRUB. The Syslinux program (available for both Windows and Linux) places a small amount of code and a bootloader on the thumb drive, allowing it to boot. You just need to create a small text file telling it what kernel and initial ramdisk it should load. Detailed instructions can be found on the Syslinux website.
Another option is using WinPE or BartPE, both are slimmed down versions of Windows designed for booting from CD or other removable media.
Creating a bootable drive with MS-DOS is also possible.