its actually very easy to do tht. just follow these instructions :-
1.Download your Ubuntu ISO image. I’m using the desktop x86 image for Hardy Heron Alpha 6,
but this should work with pretty much any version of Ubuntu (provided it’s the LiveCD and not the alternative CD, see comments below).
2.Download the HP USB Disk Storage Format Tool. It does a much better job of formatting USB drives than the built-in Windows format command.
Use it to format the USB drive using the FAT filesystem.
3.Download syslinux and find the syslinux.exe file under the win32 folder. Copy it to your Desktop.
4.Open up a command prompt, either by selecting it from the Start Menu or typing “cmd” into the run command.
Change to your desktop folder [cd desktop] and run the command [syslinux -ma f:] (assuming F: is the letter of your USB drive).
5.Mount the Ubuntu ISO (I recommend the Microsoft ISO mount utility for XP) or burn the image to a CD.
Copy all of the files from the mounted image / CD to your USB drive. You can do this from your command prompt window with the command [xcopy /e /h /k d:\*.* f:], assuming that d: is your CD drive / mounted image and f: is the USB drive. Don’t just drag the files over as Windows will miss out some important hidden and system files.
Now on the USB drive itself, move all of the files from the /install and /isolinux folders to the root of the drive (you can drag and drop this time). Also, move the vmlinuz and initrd.gz files from the casper folder to the same place.
6.Rename the isolinux.cfg file to syslinux.cfg, and edit the file so that the /install and /casper references are all removed (so /casper/vmlinuz becomes /vmlinuz, etc.)