I've noticed on many of my thumb drives that there was no default MBR on them to start so even though you might set everything up the right way and run pxelinux correctly, it still wouldn't boot. Under Knoppix, use the fixmbr utility to put the default dos boot code on the thumb drive. So if your thumb drive is /dev/sda1 you'd type:

Code:
sudo fixmbr /dev/sda1
Or on Windows you'd type:

Code:
fdisk /mbr