Drupal on a stick was tested on Windows XP and should probably run under Windows Vista without a problem, but check out the link for WOS Portable if you have Vista and can't get it to work.

From the WOS Portable site:
"WOS stands for the three letter abbreviation Webserver On Stick and makes it possible, to run a webserver based on Apache, MySQL and PHP from an USB Stick or any other writable media (harddrive, flash cards etc.) without installation under Windows (98 to Vista)."