Having a web server on a usb memory stick can be a convenience. It makes it very easy to transport and access a website that is under development, and to show it to a client, without having to set up temporary hosting somewhere. It also makes it possible to work on the website at any convenient Windows computer, with or without an Internet connection. It's also possible to have a portable web based application available in a very portable form, such as a product catalog or some other type of information system.
Putting an instance of the Joomla! content management system on a usb flash memory stick is possible using the server2go system that is available for Windows systems. You can get the same type of thing already set up at joomlas2go.net, but if you set the system up yourself, you'll be able to ensure that the system has the latest version of Joomla!, and will have a better understanding of the structure so you can update it more easily.
You will need a usb flash memory stick. A 1 or 2 gb stick should be sufficient for most instances. You'll also need to download the server2go system and the latest version of Joomla!. Server2go comes with the Apache web server, php scripting, and the mysql database. The php based phpmyadmin comes as part of the system so that you can adminster the database through an easy to use web interface.
If the usb flash memory is not already formatted as fat32, it would be best to do so. The downloaded Server2go file is a self extracting exe, so after you've downloaded it to a convenient place, just run it and a folder will appear with the necessary files in it.
Copy all the files in the Server2go folder to the usb drive's root directory.
Edit the pms_config.ini file in the base folder of the usb drive. Use a text editor such as notepad.exe. Change the line "start local =  0" so that the value is "1". Change the line "local mirror = 1" to a value of "0". Change the line "delete database files = 1" to a value of "0". Save your changes before closing the editor.
At this point we'll need to make a few adjustments to the system. You'll need to run the Server2go server by opening up Windows Explorer (my computer) and navigating to the usb drive. Run Server2go.exe, by double clicking on it. On the right side panel, under tools, there will be a link to phpmyadmin. Click this link, and then click the databases link. At the bottom of the page, create a new database named joomla. There's no place to assign a user or password with this system so when you need to add these values to Joomla later, just use root as the user and leave the password blank. You can now close the web browser window.
Next you'll need to make a few changes to the configuration of php. With Windows Explorer, navigate to the server\config_tpl\php.ini file on the usb drive. Open this file in an editor such as notepad. Find the line that reads "display errors = on" and change this to "off". Locate the line that reads "register globals = on" and change this to "off". Save the file and exit.
You may now delete all the individual files (but not folders) in the htdocs folder of the usb drive. alternately you can rename the index.php file to something appropriate that you will remember such as server2go.php.
Now, unzip the Joomla package that you've downloaded, and copy or move the files in the unzipped folder to the htdocs folder of the usb drive. Now, when you run server2go.exe in the base folder of the usb drive, you'll go directly to the Joomla! installation page where you choose the language you want to use. Follow through the screens making appropriate choices. When you get to the database screen you'll need these settings:

Be sure to make note of the administrator password as you setup the Joomla! system.
Once you are finished setting up Joomla, you'll be greeted with a screen telling you that you must delete the installation folder. You'll find this folder in the htdocs folder. Just right click on it and delete. Then you can open up the front end or backend of your Joomla system.
For administrative purposes, append '/administrator' to the address of your webserver address to get to the Joomla! backend and add content, install templates and extensions, etc.
If you like, you can leave the splash.png file in the base directory, or substitute your own graphic if you like.