Hi Philippe
> That's why I recommand unetbootin (easy to use), which runs with windows as well; no need to burn a cd

Very nice, yes. I tried it on my Windows 7 laptop, and was even able to install Gramps on the flash drive. Not fast, but that was to expect.
For Michael:
I advise to download the ISO file of your favourite Linux yourself, or make sure that the ISO file is downloaded from a server close to you. The program tried to download my test ISO from Ireland, which took quite some time.
If you choose Ubuntu or Mint, you can let the program reserve a work space for you, so that you can save files and install software on the stick.