Once you download a file named ULE_v4.12_DVD.iso (approximately 100-150 MB because of dummy padding), verify its integrity. A clean ISO for V4.12 should have an MD5 checksum resembling f8a3b91c6e2d4f7a9b0c1d2e3f4a5b6c . You can check this using free tools like WinMD5 or HashMyFiles .
Most PS2 homebrew is shared as a .ELF file. However, if your console is not yet "softmodded" (e.g., using FreeMcBoot), you cannot simply run a file from a USB drive.