1. First step is to download the .iso file you want to use (from: http://fedoraproject.org/en/get-fedora). You need to choose the liveCD version that suites you needs (x86, or x64) - and the type you want. You can choose between the KDE and the Gnome version. The KDE version uses KDE4, which is nice if you want to try it out.
2. Go to https://fedorahosted.org/liveusb-creator and download the liveusb-creator zip file, extract to your preferred location and run it. You should come with a screen like so:

3. Hit browse, find your .iso file, then set your target drive (your plugged in USB stick).
4. Next, set your overlay size. The full install should take about 700mb or so, and I set mine to 1gb to be on the safe side. You should be able to access the remainder of the data on the drive via fedora and windows without a problem.
5. Wait for it to complete.
6. Reboot! When your machine is booting, you will need to choose to have it boot from the USB drive. Some systems it's in the bios, others (like my dell), you need hit F12 and choose to boot from the usb drive.
It should boot up in to Fedora at this point! I'm going to spend a bit more time playing around with it (such as figuring out how to set up my ATI card in it) and then I'll post some more info.
As always, leave comments and let me know how it worked for you.