I lost a huge amount of time trying to enter BIOS / UEFI from the thrice-accursed accursed windows pseudo-operating system. In the end I discovered I had to disable the Windows 10 Fast Startup (as explained here). In my case it was further complicated as my BIOS didn't support UEFI (the machine has 'Legacy' BIOS).
Subsequently, I lost some time trying to discover which are the keys to enter BIOS on a ThinkStation machine and when to press them. I discovered it is F1 and that, crucially, you need to press them immediately after the start of a power cycle.
I then managed to enter BIOS and after changing the boot order, I successfully booted from a USB flash drive I had created using USB Creator as advised here.
I then installed emacs and modified the GRUB settings as shown here and then entered CRUB by pressing ESC (or SHIFT) while rebooting and started a memory test. However, the test hung up on me and I was unable to enter the CRUB menu again.