This also works with a HDD too, but I installed to USB.

First, you'll need a flash drive that is 128mb or larger for this to work.

I'm using a Dane-Elec 1gb drive for this.

Then download UNetbootin here.

Install it according to onscreen instructions.

Open it.

Select Puppy from the very top bar, and to the right of it, select the only option there.