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There are various Linux distributions on the internet you can choose from but i recommend you download the UBUNTU linux for the sake of this tutorial.The Universal USB Installer does not install on your machine, it requires the file to auto run on its own and when done, you need to create a desktop link to this file for future use. You will get the option to download the required version of Linux you have in mind(UBUNTU), mark and choose the location of your USB pen-drive.
As the download commences, you will also get an option to choose an appropriate amount of space for your persistence file, which actually makes your Live USB a full fledge OS with no need for installation to run fully on your machine. If your USB pen-drive is above 4Gb, you stand a chance to have moire space for your persistence file, where you can save files and chances during the course of using this live CD on your machine.
All record of usage remains with the USB pen-drive. It is a wonderful tool to have for emergency purposes in retrieving files from corrupt windows installed machines as well as can be ran anywhere so long as the machine can boot from the USB console.
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