I'm not trying to hijack this thread but you can certainly dual boot Windows and Linux from a USB PEN drive. Furthermore, you can install a mix of several versions of Linux and Windows on a USB Pen drive. A 16G drive would be enough of space for a dual or triple boot.
One good thing to do would be to create a FAT or a NTFS data only partition that you can use to easily read/write/share files, no matter which OS you boot into.
The key is to plan out in advance what you want to do (number of partitions, sizes, file systems and such) before you begin installing. It will make your life easier when upgrading later on.
I'll be happy to answer any questions I can so don't hesitate to ask. I'm sure there are other members who will have good suggestions on how to approach it, as well.