After downloading the ISO file of any live CD distribution, you can either burn it in a CD / DVD as a live CD or make it as a live USB. For me, I prefer live USB because the live CD distribution always improve from time to time. If you use USB, you can delete the old distribution and rewrite it.
Besides that, certain live CD distribution such as Puppy Linux only has 100MB in size. It is a waste to use a CD / DVD for something small like Puppy Linux.
There are a few ways to turn your pen drive into a live USB. However the easiest way is by using a software called Unetbootin.
After downloading Unetbootin, you just need to choose ‘DiskImage’ and then load the ISO file of the live CD. Lastly press OK. After the Unetbootin has completed its process, reboot your PC. That’s all.
Ps: Make sure you set ‘removable’ as the top priority in the boot sequence (can be found in BIOS setup).