If you want to create a Live Ubuntu USB key from Windows, free utility Usbuntu does the job perfectly, but if you are looking for an advanced utility having the ability to create bootable live USB drives from a variety of Linux distro's UNetbootin would be the solution you are looking for, the free and open-source utility for Windows and Linux allows users to create bootable Live USB disks for a variety of Linux distributions, the utility can download a linux distribution of your choice or can be supplied with a Linux .iso file if you've already downloaded it or if your distribution of choice is not included in the list.
If you don't have a USB disk or can't use it for some reason UNetbootin can install on your Hard-disk as a Frugal Install which can come handy for loading system utilities like - Parted Magic, Super Grub Disk, Backtrack, Ophcrack, NTPasswd, Gujin, Smart Boot Manager (SBM) and FreeDOS to name a few.
