But the question is however that let's assume that you don't have currently installed linux and don't like to burn it to live CD, etc but eager to (aaah you're bored with the windowzeeeee aren't ya!) try it then you're in luck my friend all you have to do is download this software (link at the bottom) and install it on your windows PC, well it so simple that you just have to double click it!. But first...
1. Format your pen-drive,
2. And download a Linux distro such as ubuntu, fedora, opensuse, etc.
3. Then simply choose the .iso file within the pendrivelinux GUI and click install. That's it.
Within few minutes it'll notify you when it is done then you can reboot your PC and make sure the "boot device" settings are set to USB or whatever the manufacture calls it trough the BIOS and enjoy the linux live CD on your USB!.
Click here for the Pendrive Linux website.