You can install ubuntu on USB drive either from a ubuntu iso image you have, or from a ubuntu installation cd and you don’t have them then you need download the iso image of ubuntu from here.
I would recommend a USB drive of at least 2 GB capacity to install ubuntu linux, uSbuntu live creator will take some amount of time to install ubuntu, but the booting time will depend on the size and speed of your USB drive.
uSbuntu live creator will work on operating system including Win XP, 2003 and Vista and it lets you test ubuntu without any risk.