What you want is possible to achieve with TeX Live to some extent, but there are some caveats. People often want multi-OS setup on a network share and this is well supported. On a USB stick things are more complicated, because of symlinks which are not supported on Windows file systems[*] (FAT32 is the one usually found on USB sticks).
One way around it is to install with --portable
option, add any platforms you require afterwards (Windows, OS X, etc.; this can be done only when installed on a Unix-like OS, again, due to symlinks problem), and finally copy everything to a USB stick with dereferencing symlinks to copy the linked files instead.
You won't be able to update such an installation afterwards, though (or to be more specific, updates of binary packages with symlinks won't work[*]). However, binaries are usually not updated between yearly releases, so you might in fact get away with this, but there is no guarantee [**].
A possible further hack would be to remove all platforms but the Windows one, but only from the TL database and not their actual files, so tlmgr is effectively fooled and won't do any updates to the "problematic" packages. Such a setup may be fragile under certain circumstances [**] and requires hand-editing of TL database, which I don't recommend to anyone unless they know exactly what they are doing and can recover from possible breakage.
Yet another approach to updateable system on a stick could be to keep updating the original "source" installation and sync it with the USB one afterwards, which is a bit less convenient and also means no updates on the go, but OTOH shouldn't cause any problems (the last famous words).
[*] Edit: To clarify the issue with symlinks - TL packages are stored simply as compressed tar archives (+ some meta data about the package). Symlinks are archived together with regular files and everything is extracted during package installation and/or update. If the file system doesn't support symlinks, this extraction will fail and therefore package installation/update will fail.
[**] Edit 2: TL makes package backup before its update, so update failure should not be fatal (the old version will be restored), but this can be fragile if the old version has some incompatibility with dependent packages.
I would probably first try Portable MiKTeX. The website for distribution includes instructions on using it, and adds useful options to the context (right-click) menu for the drive you put it on. Configuring with a non-portable editor might be tricky, so I'd go with the TeXworks editor that is bundled with Portable MiKTeX.
If you cannot use the context menu for any reason, you should be fine staring TeXworks 'manually'. It's located in miktex\bin
inside your portable installation.
Best Answer
Select custom install in the installer
Toggle portable edition (highlighted in red)