Can it be downloaded to and run from a USB stick?
hahaha... you're joking right ?
Surely you've used Windows ? You know what it's like in terms of resource utilisation. That said, I wouldn't even try to run a non-cutdown version of Linux off a USB stick either.
Do you honestly think the throughput over USB will be sufficient to enable Windows to run ?
There's a reason why it has been an unsupported configuration in all historic versions of Windows and will no doubt continue to be so.
As rgbrock said, install virtualisation software and run it on there.