There have been numerous projects and volunteers, like BartPE or the WindowsFE (Forensic Edition), to make it possible to run a complete OS from removable media, but in every case, this takes time and a lot of customizing.

Only a few years ago, it was a real pain creating a portable Windows on CD/ DVD or thumb drive, because the Operating System was not prepared to run on those media. By Robin Brocks, IT Forensic Expert and Incident Responder