Backtrack is a security-oriented live distribution that you can find out more at Link. With security in mind, it has features to search for easily cracked passwords, port scan, intrusion detection, etc. I haven't had a chance to play with it enough yet but I intend to break it apart. It has features that will be useful for my work as MSSQL DBA as well. Now that I wasted enough of your time I will describe the steps.
1. Download the USB Live iso from the download section of the website above.
2. Install isoBuster on your Windows machine.
3. Open the USB iso in isoBuster.
4. plug in a USB key with at least 1GB of space. You will lose all data on your key so use one you don't need. Save/backup all data :).
5. Format the USB with FAT32. Use disk management from Administrative tools in Windows.
6. in isoBuster, maximize the bottom Slax folder of the image.
7. Right click the boot folder and extract to the USB key.
8. Right click the BT3 folder and extract to the USB key.
9. In Windows Explorer browse to the USB key, boot folder (ex: USB key is letter F so go to F:/boot).
10. Double click the bootinst batch file. A command prompt will appear. If the command prompt says F: drive hit enter or whatever the drive letter is, otherwise close the command prompt by hitting the X in the right hand corner. DO NOT PROCEED, YOU WILL BREAK YOUR WINDOWS INSTALLATION! This is a very important step, you need to run this batch file only from the USB.
11. Once the success message appears you now have a bootable USB key.
12. Boot your machine that you will test the usb key on. Change BIOS setting to boot from USB CD or USB HD and boot into the Backtrack environment.