It might have been THG site, several months back, someone reviewed teh feasibility of running Linux variants completely from the USB flash drives, and I remember Damn SMall Linux being one of them, so it is quite possible....
(They were using systems capable of booting from them, however...)
Your motherboard has to support booting from USB. You can check in your bios boot options. Support and bios options differ so you'll have to look around and see. You can get in the bios by pressing the 'del' or perhaps 'F1' or 'F2' screen when the computer first boots. (Just in case you didn't know!!)
A compact flash card is a digital memory storage medium used in digital cameras, PDAs and such. A sony memory stick, smart card, and secure digital are other types of cards.