Fedora is a distribution of Linux from RedHat. For more information, see www.fedoraproject.org
As of May 2008, the latest version is Fedora Core 9.
Although there are some instructions at docs.fedoraproject.org/install-guide/f9/en_US/sn-making-media.html, I've found a few mistakes, so my own notes are as follows:-
1. Download and burn the Live CD ISO.
2. Boot the PC from the Live CD.
3. Open a shell window (Applications->System Tools->Terminal) and login as root (type su <return>
4. Install the livecd-tools package:
yum -y install livecd-tools
You will require a network connection for this, so make sure your machine is connected to the internet.
5. Insert your USB pen disc and wait for it to mount. It should appear on your desktop. You now need to find the linux device name for it, so type the following command:
where USBLINUX is the name of your pen disc (shown on the desktop) - I've renamed it so that there are no spaces in the name.
If all is well you should get something like /dev/sdb1 displayed.
6. You now need to write the ISO image to the USB disc:
livecd-iso-to-disk /media/USBLINUX/Fedora-9-i686-Live-KED.iso /dev/sdb1