What startup volumes do you see when you startup holding the Option Key...? Do you see your Macintosh HD or OS X Install Disc...? If so, then select one of those and startup from that instead of Windows.
What is on the USB, Windows or OS X and it it a bootable volume...? If it is not, then it will not show up in the Startup Disk Preferences or Startup Manager.
I do not use Bootcamp or run Windows on my Mac's so don't quote me on this, but I don't think that Windows can boot from an External USB or FireWire Hard Drive like OS X.