I downloaded Kali Linux 2.0 from the official site(https://www.kali.org/downloads/).
I burned the ISO on my USB Drive using this program: (http://www.linuxliveusb.com/). I have also tried using Win32Diskimager, with the same results.
When I tried to boot it, it didn't work: when I clicked on my USB drive in the UEFI, the screen turns black for a short amount of time and then shows the UEFI again.
Now I tried the same procedure with Ubuntu Linux and that worked perfectly.
I want to live boot Kali Linux.
I got: UEFI on Asus Laptop, Intel I7 Nvidia GForce G820M Windows 8.1 64bit.