Unetbootin (Universal Netboot Installer) is a piece of software for creating live Linux USB disk's.
It comes with a range of preselected distro's all of which are regularly updated with the latest release. The following list is not the full list of Linux distro's but here are a few:
Anyway you get the idea. In this instance we are going to burn Ubuntu to the USB disk.
Step 1: Download and install Unetbootin.
It works for both Linux and Windows, in this instance I am using Windows Vista. After you have got to the homepage, click and install either the linux or windows installer (Windows XP and Vista users click the windows button).
Click run to start the install.