That's not possible or
practical for Windows AFAIK (unless it's Windows PE or RE), but the question that begs to be asked is 'why do you want to?'.
You could, however, install a live Linux ISO to a USB key and it will boot up to a desktop, where you can perform various functions, not the least of which is accessing the HDs of the machine you're using. You can also do much of what can be done in windows.
In fact, depending on the size of the key, you can easily install a legion of linux builds, diagnostic and rescue programs, AV, etc, all accessible and can be boot into via a menu: Boot Multiple ISO from USB (MultiBoot USB) | USB Pen Drive Linux
Apologies if I've taken this in the wrong direction, but the link is an interesting read regardless.
James Edit: I guess I should add (for the uninitiated) that this type of 'rescue' key can be used for repairing windows. In example, if someone is experiencing a problem accessing their drives from within windows, you could boot to a Linux build and move files off of any partition. Or, you could check for a virus upon booting from the key, meaning that the virus could be removed without posing any threat to your USB key. You can format, partition, rescue, remove viruses, etc. The possibilities are numerous.