For preparing the USB stick you will need a system where GNU/Linux is already running and where USB is supported. You should ensure that the usb-storage kernel module is loaded (modprobe usb-storage) and try to find out which SCSI device the USB stick has been mapped to (in this example /dev/sda is used). To write to your stick, you will probably have to turn off its write protection switch.
Note that the USB stick should be at least 8 MB in size. If you follow Section 4.3.2, “Copying the files - the flexible way” and want to include an Ubuntu ISO image on the stick, you will need enough space for the ISO as well.
If you like more flexibility or just want to know what's going on, you should use the following method to put the files on your stick.
If you are using the hd-media image, you should now put any Ubuntu ISO image onto your stick (if it fits). The file name of such an image must end in .iso.
If you want to install over the network, without using an ISO image, you will of course skip the previous step. Moreover you will have to use the initial ramdisk from the netboot directory instead of the one from hd-media, because hd-media/initrd.gz does not have network support.
When you are done, unmount the USB memory stick (umount /mnt) and activate its write protection switch.