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You can also put your own customized Live Linux on a USB flash memory device too. Just visit slax.org and you can download a live Linux creation tool that will run on Windows and allows you to add loads of modules (such as ethereal, Firefox, the gimp, open office etc.) to customize your own live "CD". You can create an ISO for burning onto CDs or USB drives - whatever you prefer.

From there, it's the same as described in the article: select the USB device in the BIOS or if it doesn't appear in the bootable devices list, plug it in and try again to see it appears in the list then.

I discovered Slax after I'd spent three straight days slaving away trying to manually build a live Linux distro. The results from using Slax made a mockery of my own manual (and laborious) efforts.