Anders is right, sure you can boot Windows live from a CD/DVD. But nicer than Microsofts version is this one:
Bart's PE Builder:
http://www.nu2.nu/pebuilder/
Unlike MS Windows PE (command prompt only) this is almost a full windows with graphical interface and plugins to run NERO, McAfee and alot more.
These can be a hassle to create, but extremely fun! There is a good thread at
http://www.abxzone.com/ about how to do it.