266MHz with 128MB of RAM. Wow. That system might be a little, um, underpowered for what you're wanting to do.
To get into the BIOS setup, it may not be the DEL key. It might be one of the function keys, or Ctrl+Alt+Esc.
To install Windows, you'll most likely need to plug in a CD-ROM drive to the motherboard. That system most likely won't boot from USB (neither flash drive nor USB CD-ROM).