My new Cruzers turned up this morning and they didn't work either...
I found an old 512meg key and went through the process of creating the disk and what do you know, Grub boots and runs. So I am little bit pissed that I got 2 new 8gig Keys which I can't get to work on my own kit, although they are still useable just not for what I wanted them for at the moment...
I just thought I'd share my experiences in case anyone else if having similar problems.
My P4 Box is running an MSI board with AMi bios dated 10.11.04, so now I got to look for a new compatible motherboard than will work with my memory and GFX card... happy days NOT.
[EDIT:] I used the HP format tool to create a USB Dos booting key on a Dane Elec 2gig USB Key and that booted on my PC, so why the hell doesn't it boot with the MBR with GRUB installed ? Confused more than ever now...