1) Copy the entire /slax/ directory to your USB drive.
If you are using Windows, you will get for example E:\slax\
You probably already did this - just make sure you are on your
USB drive now and not on your local harddisk.
2) Now navigate to directory /slax/boot/ on your USB drive.
In Windows, it will be E:\slax\boot\ for example.
Use explorer or any other file manager for this task.
3) While you're in the boot directory, locate file bootinst.bat
Run it by doubleclicking it. It will setup your USB to boot.
-- That's it. Your USB device is now ready to boot slax.