To put WinPE on a USB Stick, you must first make it bootable.
Warning: This will destroy all the data on the USB Stick!
1. With your USB flash drive connected, click Start è All Programs è Accessories, then right-click Command Prompt and choose Run as administrator. (If you are using XP no need to choose Run as Administrator)
2. At the command prompt, type diskpart and press [Enter].
3. Type list disk followed by [Enter] and make a note of the number of your USB drive.
4. Type select disk <no> followed by [Enter] where <no> is the number of your drive noted in the last step.
5. Type clean followed by [Enter].
6. Type create partition primary followed by [Enter].
7. Type select partition 1 followed by [Enter].
8. Type active followed by [Enter].
9. Type format fs=NTFS followed by [Enter].
10. Type assign followed by [Enter].
11. Type exit followed by [Enter].