You can install (Tiny) Core on USB stick on Windows easily without burning a CD using **core2usb**, a dedicated installer. Its key features:

  * developed for (Tiny) Core Linux
  * compatible with version 4.x including 4.2
  * portable, no Windows installation needed
  * safe
  * adds WAITUSB=5 automatically to boot options
  * optionally creates /tce directory on USB

For more info, visit http://sourceforge.net/projects/core2usb/