Creating a LiveUSB.
 
I've tried many live Linux distros that are able to boot from a USB stick. There are two applications that will allow you to make a bootable USB, downloading the required ISOs in the process. One is called Universal USB Installer and the other one is called MultiBootISO.
 
MultiBootISO offers an apportunity to create multiple Linux LiveUSB installation on one USB drive, but doesn't offer the persistence option, meanning that you will not be able to save your settings. It's only obvious that I decided to go with Universal USB Installer. It does offer the persistence option when you create the ISO. One of the distros with persistence is Ubuntu.
 
The process of using Universal USB Installer is self-explanatory:

Simply choose a Live Linux Distribution, the ISO file, your Flash Drive and, Click Install. Other features include; Persistence (if available), and the ability to format the flash drive (recommended) to ensure a clean install. Upon completion, you should have a ready to run bootable USB Flash Drive with your select Linux version installed.

 
After you are done creating the Linux USB, simply reboot with your Flash stick plugged in. Make sure your PC is able to boot from the USB stick.
 
Choosing a distro.
 
As I've already said, I've tried them all, and choosing the right distribution is up to you. There are a few, however, which I would not recommend installing, if you have an Acer netbook, like I do. For example, Zenwalk Linux didn't recognize my Ethernet card. Ubuntu is rather slow, and Slax, (although small in size), is even slower.
 
I've decided to go with Fedora - a project supported by Red Hat, the first Linux distro I was introduced to back in 1999. Fedora proved to be fast installed as a Live USB Operating System. Fastest of them all, in fact. My netbook is a 1.5 Ghz, 1 GB of RAM set up. You do the math.
 
 

Saving your settings.
There is a nice little app called Deja Dup Backup included in the default (GNOME) variant of Fedora under System Tools. Here you can read more about it. Just make sure you mount your hard drive before you backup, so you can select it as a destination of DDB. The restoration of your settings is just as simple, but be aware - you will have to restore your settings from the backup location every time you boot.
 
 

A few final words.
Though being able to boot an Operating System from a USB card (or drive) is nice, you are to be aware that despite of Linux being immune to viruses, they can still get through to your PC via the FAT3/NTFS partition(s) your Windows OS is using. So please be careful not to visit the web sites that can harm your computer. Use at your own risk, in other words.