This is rather a small and fast how-to
Grab the latest bitcoin client zip format
An USB pen 1 Gb+
Format the pen, and extract the contents of the bitcoin zip there, in a way that bitcoin.exe stays on the root or if you prefer create a subfolder for it.
Create a folder and name it data
Grab a copy of the blockchain from C:Users\your username\AppData\Roaming\bitcoin (means copy everything but wallet.dat - unless you want your wallet to go along to the pen, that is) to <usb pen>:\data
[This is because updating the whole blockchain using the pen's data dir will probably be a pain]
Create a text file, name it bitcoin.bat and add those contents:
START bitcoin.exe -datadir=".\\data\\"
Create another text file, name it autorun.inf and add those contents:
Mark it read-only. Actually this file isn't quite needed, but taken there're some usb-pen virus which creates an autorun.inf rather have one already there.
Close any running bitcoin client, and start bicoin.bat from the pen. And that's it...