Ubuntu LiveCDPersistence

"Live CDs are often used for trying out new software, demos, and other situations where you cannot install the operating system on some random computer's physical hard drives. But sometimes you need or want to install some new software while using your Live CD and not have to reinstall that software every time you reboot the Live CD. A really great feature of the Ubuntu Live CD - persistence, allows you to do just that. You can save your settings from your Live CD environment to some device external to the CD like a USB Stick (or any device the CD can see attached to the computer). Once you have your settings saved to your USB Stick you can then do things like take it with you and boot into your own custom live environment anywhere anytime. Let's try it out."

https://help.ubuntu.com/community/LiveCDPersistence