Its all based on partitions, and filesystems. Windows can only read NTFS, and FAT filesystems, whereas Linux can read NTFS, FAT, Ext2, Ext3 (and soon Ext4), and some others, but I'm not quite so up-to-speed on those.
Basically, we split the thumbdrive into two parts, one FAT (so anyone can read it) and the other Ext3 (so any linux user can read it.) Simple.
Step 1: Ingredients
Thumbdrive (AKA USB flash memory stick, jump-drive, pen-drive, etc) The bigger storage the better.
Puppy linux (a ~100M operating system) head to: http://www.puppylinux.org/ (I used version 4.1.1, but they are pretty similar.) on a live CD.. (I'll get to that later)
An Ubuntu installation, with GParted Installed (this is slightly better)
A working computer with a writeable CD Drive (with power, screen, tasteful desktop background, keyboard mouse, etc..)