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You can install (Tiny) Core on USB stick on Windows easily without burning a CD using coreusb, 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/