Reached a conclusion.
My laptop does not support booting from USB.
There were people who suggested me to run this little app to check if my laptop support booting from USB. This need a few steps including restarting my laptop bla bla bla. So i took one simple step; tried it on other laptop. And fyeah, the live USB worked like a charm. I am using Asus A43S series, FYI.
It gave me another two sub conclusions. Do not take the risk to install Wubi as the hardware might not compatible yet and I am going to depends solely on Windows OS for……. another coming months, at least.
Two side notes.
1. The flash drive heated up super fast. I used Kingmax micro USB flash, in case if it helps to give one or two reasons why it heats up pretty easily.
2. The start up and shut down speeds were significantly slow. Three times slower than Ubuntu 10.10, for a comparison. Double the speeds when using 11.04, for another comparison.
I am sad.