UNetbootin allows you to create bootable Live USB drives for Ubuntu, Fedora, and other Linux distributions without burning a CD. It runs on Windows, Linux, and Mac OS X. You can either let UNetbootin download one of the many distributions supported out-of-the-box for you, or supply your own Linux .iso file if you've already downloaded one or your preferred distribution isn't on the list.
Unetbootin isn't 100% compatible with all version on Puppy. If possible use BootFlash available from the Puppy menu:
PuppyMenu > Setup > Bootflash install Puppy to USB