You'll need the following:
* 1GB USB Flash Pen Drive
* Knoppix Linux
* Winrar (or another ISO extracting application)
* Syslinux V3.11

The Process:
1. The first step is to format your USB memory stick. In windows right click the drive letter and select format. use the FAT 32 option with quick format.
2. Download the Knoppix Linux ISO.
3. Download and extract syslinux-3.11.zip to a directory called syslinux311 on your computer.
4. Open your Knoppix ISO using winrar. Extract the files from the ISO to your USB stick.
5. Move the contents from the /boot/isolinux directory to the root of the stick.
6. Delete isolinux.bin and rename isolinux.cfg to syslinux.cfg.
7. Run the command prompt in windows (start/run/cmd) and CD to the syslinux311 directory. Then CD again to the win32 directory within the syslinux311 directory. Once there simply type syslinux.exe F: (F: being the example drive letter of the USB stick in this system)
8. Reboot your PC, go into your system BIOS and set your boot order to boot from any selectable USB device. (example USBZIP)
9. Save your BIOS settings. On the next reboot, you should have a sucessful launch of Knoppix Linux from your USB memory stick.

see more on pendrivelinux.com