Fortunately in this day and age you do not need to rely on the disc format only and instead you can use a USB Flash Drive to act as a bootable device. The only downside is that if you try to set the USB drive up as a bootable device it can be a little confusing and complicated. However a good friend of mine recently recommended a nifty program called LinuxLive USB Creator for Windows.
You insert and select the USB device you wish to use as a bootable device. If you have inserted the USB drive in, after you started the program you can click the Refresh button so that it displays this drive in the drop down menu.
You can select the source of your image. This can be an ISO, IMG or a ZIP image. You can also copy the image off from a CD/DVD or download a variety of different Linux flavours through the program itself. To get an idea of what the different Linux distributions look like and to find out more information about them you can visit http://distrowatch.com, which has a wealth of information. Please note that LinuxLive USB Creator works better with some Linux distributions than with other ones
This is the persistence mode. By default this is left to Live Mode which will allow you to boot into a live session of that flavour of Linux. When viewing the Linux OS directly in Live Mode you can install some software, allow some software updates and even create files/folders before even installing the software. If you are like myself though you just get on with installing the Linux OS straight to the main hard drive. I will have to say though, it is handy having a live session if you ever wanted to use Linux on a friends machine.
This step will allow you to configure some simply options. By default "Hide created files on key" is ticked and "Enable launching LinuxLive in Windows" is also ticked. If you have data you no longer need on the USB drive you can also tick the option "Format the key in FAT32" which will erase all data currently on the flash drive.
If you are happy with everything you can just click the little lightning icon and the installation will then begin. If you wish to configure some more advance options you can always click on the OPTIONS button. Please note that there is an Advanced tab, but it is only recommended you touch this if you know what you are doing.
When you have followed through these 5 simple steps you will have a new LinuxLive drive which will be ready to boot on the machine of your liking.