With the release of computers without optical media the need to install your OS from a USB drive emerged.
Untill the begging of 2009 this was not a user friendly process, although the tools existed.
The last months two utilities made their appearance.
The first one is coming directly from Microsoft and it is simply called: Windows 7 USB/DVD Download Tool
With it you can transfer an ISO image of the Windows 7 DVD to a USB Stick. The whole process is but 4-5 mouse clicks and it works with no gliches.
The second program is called UNetbootin and it does a bit more than the Microsoft Download Tool.
With UNetbootin you can choose from a list of operating system and the program itself will download the files needed for the installation and create a bootable USB Stick with them.
It can be used for many Linux distros, both popular and not so popular.
Apart from downloading the setup files itself it can load any ISO file (hint: Windows images) from your hdd and create a USB Stick from it and for more advanced users it has a custom mode where you load the kernel by yourself.
Lastly a should also mention a third utility, called Image Writer for Windows which makes it easy for you to transfer IMG files to a USB Stick, contrary to the utilities mentioned above that can only work with ISO files.
Hope this helps ;)