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/