This section describes how to transfer the Live image to a USB mass-storage.
Some new USB keys have a bootable hidden partition, called "u3", which cannot be deleted. Most Sandisk USB keys are u3 compliant. These keys will need to be erased using proprietary software to gain full access. Avoid these keys or your computer will not be able to boot the USB key. To remove use http://u3uninstall.s3.amazonaws.com/U3Uninstall.exe [1] (Windows) or http://communities.sandisk.com/sandisk/board/message?board.id=u3&thread.... [2] (Mac).
If you are running Windows, some USB keys may be bootable after using "HP USB disk storage format tool" to reformat the key :
http://h18000.www1.hp.com/support/files/serveroptions/us/download/23839 [3]....
The USB mass-storage can be a USB key, a USB disc or a USB stick. Your bios should be recent enough to boot on USB media. The USB mass-storage size should be equal or larger than 2Gb.
WARNING: DURING OPERATION, YOU WILL LOOSE THE WHOLE CONTENTS!
Plug-in your USB mass storage. Try to identify the device node. If you are not used to command lines, run gParted:
Now use the dd command line utility to write the mass-storage. Make sure that you overwrite the whole device, not just the first partition of it that you normally mount, i.e. /dev/sdX instead of the more familiar /dev/sdX1. As root, enter:
dd if=$DOWNLOAD.img of=$USBDRV
where $DOWNLOAD is the image that you downloaded and $USBDRV is the device node of your USB key, in the above example /dev/sdX and not /dev/sdX1.
Download and install WinRaWrite [4], a free software to copy the Live image onto a Usb mass-storage.

Please note that after this step your USB mass-storage will be unreadable by Windows.
Warning: do not unplug your USB key until Windows finished data transfer. Right clic on the USB key to unmount the key. Windows should inform you that the key may be safely removed. Or your USB key may be unreadable.
Links:
[1] http://u3uninstall.s3.amazonaws.com/U3Uninstall.exe
[2] http://communities.sandisk.com/sandisk/board/message?board.id=u3&thread.id=1066
[3] http://h18000.www1.hp.com/support/files/serveroptions/us/download/23839
[4] http://www.chrysocome.net/rawwrite