Damn Small Linux on a USB pen drive

Format the USB pen drive
Download dsl-embedded.zip file from the Damn Small Linux web site. Extract the zip file to the root of the USB drive.
Download file syslinux-3.11.zip to a folder in the E: drive called syslinux (E:SYSLINUX)
E:> syslinux.exe -f Y: where Y: is the USB drive letter.
Plug in the USB Drive and boot your computer.