Install Knoppix 6.x to a USB Flash Drive.
I used this and it worked perfectly! I used the util to create a knoppix drive out of an 8gb USB key - note that the USB key needs to be formatted and recognized as a letter under Windows before the util will work with it.
Once created, boot to it and you will see a prompt to create a persistent drive. 750 worked for me. The example is 200mb to several gig. Note that only the numeric part is acceptable, putting MB after it will cause it to skip the persistent file generation and just boot Knoppix.
Once you have created the persistent file, it asks you if it should encrypt it, and what your password/passphrase is. Very nice feature.
So after a few minutes, I have the Knoppix 6.2 DVD ISO burned to an 8gb stick with a 750mb persistent file that allows me to save all of my settings and such, like networking and browser plug-ins. I could likely have created a larger persistent file, but I figured I would just play it safe this time around.
Note: Be sure to get the EN version ISO, not the DE. Unless you read German. I used the KNOPPIX_V6.2DVD-2009-11-18-EN.iso file. You can always use the KNOPPIX_V6.2CD-2009-11-18-EN.iso file and just have the CD version instead of the DVD version. The CD version is about 700mb and the DVD version is about 3.6gb, so it will likely take several hours to download.