You can download latest release of Puppy Linux in .iso format on http://puppylinux.org/downloads/official-releases. Actual version is 4.1.2 and it takes less than 100 MB. When you download it, all you need is to write it on CD, and reboot computer from CD drive.
To make bootable USB stick it is necessary to go to Setup: Puppy universal installer. Before continuing installation, put the USB stick in, and, logically, select “USB Flash drive”, for installation type. Next step is Filesystem in partition. Installation program will automatically run Gparted – program for partitioning. You need to right click on wanted partition and select Format to: ext2. Then you need to right click to partition i.e.USB stick and select Manage Flags. Turn on just option boot, and others turn off.
When the partitioning is done, again run Universal Installer, and repeat all steps. You must be sure to choose right partition, i.e. USB stick, formatted in ext2 type. After the setup completes, in few minutes, you will have Puppy live USB stick. And, that’s it. You can now reboot your computer. Of course, first you must choose USB hdd as first boot device in BIOS. Try it. You will not regret it.