In this video PCMECH give a walkthrough the installation of a bootable Linux on a USB thumb drive from Windows. For this it's recommended to use a USB stick with a capacity of at least 1GB. First the UNetBootin application should be downloaded from the site mentioned and run the program keeping in mind to plug in the USB stick prior to the running of the program. Next the desired Linux distro and version should be selected and run as shown in the video. If you already have a distro you can use that as well. The video also has some tips to install Linux on a thumb drive as small as 128MB.