A "Live" USB flash drive contains a complete bootable computer operating system (OS). When you boot a computer from it, this OS loads into, and then runs from the computer's memory instead of booting from the OS on your hard drive. This allows you to run a different OS without installing it or making any changes to your computer's current configuration.
To create one of these, download an ISO file containing the OS you want to use, such as
Ubuntu,
Slax or
Zorin, then use something like
Rufus[/u] to burn that ISO file to a USB key/flash drive
Now boot your computer from this USB key/flash drive and your computer will be running the OS on it instead of the one on your hard drive.