You definitely need bootmgr and bootmgr.efi on the usb stick. It won't boot otherwise.
No idea what you are doing wrong, those files should be in the iso folder on your HD. It all works fine here. Maybe your a/v is interfering.
Never mind, you can copy them from :
C:\Windows\Boot\PCAT\bootmgr
and
C:\Windows\Boot\EFI\bootmgr.efi
copy and paste is fine.
I can't tell from your description if the program worked, you should have lots of files in the iso folders, perhaps better check.
It needs to be an .iso image file if you are burning it to cd/dvd.
If you are using usb stick, then you do not need an .iso file. You can just copy the contents of the ISO folder onto a formatted usb stick as in the screenshot a couple of posts up.