That is because you've not installed it. When you boot your USB their should be an Install Icon on the desktop. You use this to install on a second USB (at least 32GB).
Be careful because if you use the default install Mint will install wherever it thinks best which could be your Windows disk. If you use the default option I'd recommend you def disable your W10 drive (even if it means unplugging if you cannot disable in BIOS.)
I disabled my W10 disk in BIOS so that Mint could not see it and installed to a 32GB USB. Took me a while to figure out some of the ans to the question it asked but got their eventually. It's now been working fault free for more than 1 month and I'm learning a lot from it.