"Portable Ubuntu for Windows provides the user with the ability to install Ubuntu on a Windows machine and do pretty much everything that you can do on a regular Ubuntu machine! And, you can do the install to a USB device so that you can take your Ubuntu with you and run it from any Windows machine you want!"
This is very cool tool/toy. If you have it on Windows XP: Just click on run_portable_ubuntu.bat and the whole thing will start. In Vista it take a little more, but not a lot.
The second YouTube video shows you how it works. It's very cool!