If you are using Windows 7, or Vista you are able to make bootable USB memory stick very easy. You just need one memory stick capable to store content from bootable CD or DVD that you want to copy to USB. Just follow next 6 steps:

1. Insert your USB memory stick into PC. Recomended size is 4GB or higher.
2. Run Command Prompt as Administrator. Do that by typing cmd in Start menu to find Command Prompt, then hit Ctrl+Shift+Enter or right click on Command Prompt and select Run as Administrator.
3. In Comand Prompt type following commands. Note that Command Prompt is not case sensitive.
   DISKPART and hit Enter
   LIST DISK and hit Enter
   On my PC I have one HDD drive named Disk 0, so USB mem stick is Disk 1.
   SELECT DISK 1 and hit Enter
   Use yours disk number if it is not 1.
   CLEAN and hit Enter
   CREATE PARTITION PRIMARY and hit Enter
   SELECT PARTITION 1 and hit Enter
   ACTIVE and hit Enter
   FORMAT FS=NTFS and hit Enter
   Wait for a few seconds until format process ends.
   ASSIGN and hit Enter
   EXIT and hit Enter
   Don’t close Command Prompt. We will need it in next steps.
4. Insert your Windows copy into yours CD/DVD drive. Note that in my case drive letter of DVD drive is F: and drive letter of my USB memory stick is I:
5. Go back in Command Prompt and type following commands.
   F: and hit Enter
   Use yours DVD drive letter instead.
   CD BOOT and hit Enter
   BOOTSECT.EXE/NT60 I: and hit Enter
   Use yours USB drive letter instead.
6. Copy Windows DVD content on USB memory stick

Bellow is log how it worked in my command prompt:

C:\Users\User>diskpart

Microsoft DiskPart version 6.1.7600
Copyright (C) 1999-2008 Microsoft Corporation.
On computer: USER

DISKPART> LIST DISK

Disk ###  Status         Size     Free     Dyn  Gpt
--------  -------------  -------  -------  ---  ---
Disk 0    Online          465 GB      0 B
Disk 1    Online         7639 MB      0 B

DISKPART> SELECT DISK 1

Disk 1 is now the selected disk.

DISKPART> CLEAN

DiskPart succeeded in cleaning the disk.

DISKPART> CREATE PARTITION PRIMARY

DiskPart succeeded in creating the specified partition.

DISKPART> SELECT PARTITION 1

Partition 1 is now the selected partition.

DISKPART> ACTIVE

DiskPart marked the current partition as active.

DISKPART> FORMAT FS=NTFS

100 percent completed

DiskPart successfully formatted the volume.

DISKPART> ASSIGN

DiskPart successfully assigned the drive letter or mount point.

DISKPART> EXIT

Leaving DiskPart...

C:\Users\User>F:

F:\>CD boot

F:\boot>bootsect.exe/nt60 I:
Target volumes will be updated with BOOTMGR compatible bootcode.

I: (\\?\Volume{36fa33df-2a19-11df-91c8-0c6076e5c737})

Successfully updated NTFS filesystem bootcode.

Bootcode was successfully updated on all targeted volumes.

F:\boot>

NOTE: This will not work on Windows XP!