"Once you've got the ISO downloaded and your thumb drive
configured properly, you've got two options for how to create the
bootable drive. The first is easier, but involves burning a CD. If
you think you might have use for an Ubuntu Live CD, or if you've
already made one for some other purpose or just have a ton of extra
blank CDs, this is probably the way to go for you.
"Creating an Ubuntu Thumb Drive From a Live CD
"Simply burn the ISO disk image onto a CD using your burning
software of choice (if you need a free burner, we recommend
CDBurnerXP), then boot to Ubuntu off the CD. Recent versions of
Ubuntu, such as 8.10, come preloaded with an app that allows you to
create a bootable thumb drive from a live CD, such as the one
you're running off of. To access this app, simply click on
System->Administration->Create a USB startup Disk. This tool
is about as easy as it gets--just select your CD drive, your USB
drive, and click Make Startup Disk."