You can install fedora like Windows with Install Media, there is also a Live Media which allows you to run Fedora in a CD/DVD. With Fedora 9, now we have another option - install it to a USB Flash Drive with Fedora liveusb-creator. A full customizable and portable Linux is in you hand!
Fedora Wiki: FedoraLiveCD/USBHowTo
http://fedoraproject.org/wiki/FedoraLiveCD/USBHowTo#Using_Windows
Install Fedora to a flash drive using Windows
http://www.pendrivelinux.com/2008/05/17/install-fedora-9-to-a-flash-drive-using-windows/
