The USB too is located at: https://dl.dell.com/FOLDER06669859M/1/Dell_Wyse_USB_Imaging_Tool_v3.4.0.exe
Keep in mind to limit the USB size to 32GB.
Prepare the key first for image pull, remove the USB key and restart the Application.
Download the Merlin image at: https://dl.dell.com/FOLDER07208776M/1/OS_Merlin_v8.6_710_WTOS_3040_EN.zip
Extract the Zip file, then in the USB tool select Push Image, click on the plus sign and brown to the fold just extracted and select the .RSP file. Then click update the USB key with the image.
when booting the device, make sure to first set the device to support USB boot.