UNetbootin is a free software which allows you to create bootable Live USB drives for Ubuntu, Fedora, and other Linux distributions without burning a CD. It runs on both Windows and Linux. You can either let UNetbootin download one of the many distributions supported out-of-the-box for you, or supply your own Linux .iso file if you've already downloaded one or your preferred distribution isn't on the list.
UNetbootin can create a bootable Live USB drive, or it can make a "frugal install" on your local hard disk if you don't have a USB drive. It can load distributions by automatically downloading their ISO (CD image) files, or by using existing ISO files, floppy/hard disk images, or kernel/initrd files, for installing other distributions.