The DNN part of that shouldn't be difficult, but you'd also need a web server and database engine on there.  You could probably get Cassini to work for the web server, but I'm not sure that you could get SQL Express to run off of a jump drive...

Hope that helps,

For what it's worth...

I maintain a USB stick with a Virtual PC copy of WinXP (full install) including a complete dev environment plus IIS and SQL Server.  I have a number of DNN test instances on the USB drive (inside the VPC).  The VPC is unbearably slow running from the stick but I don't use it that way.  Instead, when needed, I bounce a copy of the VPC to a local (fast) drive on whatever physical machine I'm using -- I keep a copy of the VPC installer on the USB as well.  Any time I make a major update (that I want to keep) to the local VPC copy I bounce that copy back to the USB.  This has worked well on the past few dev machines I've run through as I can be up and running with my known dev environment in a matter of minutes on most any Windows box as long as I have enough access to install the Virtual PC manager.