What files are needed if i am using the "No Format" Option? only NTLDR?

The FileCopy by USB_MultiBoot5.cmd is the same for all three Format Options.
The choice in the Format Menu only determines the Program which is used to Format your USB-Drive.

N) No Format - Use USB-Harddisk with FAT or NTFS Format by Windows XP
Use Existing Bootable USB-Drive with NTLDR Bootsector

In this case you are supposed to have a USB-Drive which was previously already Formatted by Windows XP,
PeToUSB or HP Format Tool. They all give a USB-Drive with NTLDR Bootsector when XP is your Operating System.