Ubuntu USB
Create data on the USB drive
Download UUI
Autorun.inf
Proper creation of autorun.inf might be blocked by firewall. So either disable that, or copy text as given below into that file.
As of 2014-09-08 the content of this file as found by ANNAinfo is:
[autorun] open=wubi.exe icon=wubi.exe,0 label=Install Ubuntu [Content] MusicFiles=false PictureFiles=false VideoFiles=false
Installation
That page also talks about Grub and installation of Grub into the USB drive.