Linux Live have created a neat little software package that can help you create Bootable Linux OS thumb drives that can be opened under Windows. LiLi allows you to create live USB stick with any distro you would like enabling you to save files and setting between reboots.
Each drive you create using LiLi comes with is own VirtualBox allowing you to boot it from directly from within Windows. No knowledge of VirtualBox is required as it automatically creates an .exe file on your new Linux drive that will take you directly into a virtualised session of your desired mobile distro.
Another neat feature of the Linux Live LiLi software is the ability for it to hides your uploaded data files, so snoopers browsing your USB drive will not be able to see anything you’ve saved onto it.
Source : Lifehacker