Fair point, but I actually used a cheap slow pen drive for the Knoppix and it seems ok. Slow USBs tend to be slow in the write dept which isn't the issue here.
One advantage of USB is that settings etc can be stored. I downloaded Flash to test the Knoppix browser with YouTube and Flash was still there on next boot. I believe I created a persistence file or something that remembers settings. I was also surprised at how Knoppix had drivers
for LAN, sound and my HD monitor ! Most codecs seem to be there as well - since the OS can see my Windows files, I tried a few movies out.
I also had a go with Ubuntu, but it wouldn't load. Someone told me this was because Ubuntu didn't like my 12GB ram.
Anyhow, for the OP - since these distros are free, grab a few and experiment. Live CD/USB won't touch your Windows files.