If you ever wanted to install WordPress on your flash drive, here are two tutorials that explain how to do it:

1) http://www.tamba2.org.uk/wordpress/usb/

2) http://ralph.fm/2007/03/08/how-to-install-wordpress-on-a-usb-stick/

Update: Once the local version of your blog is ready to go live, you can easily migrate it to your web server. Andrew Strojny’s tutorial, Convert A Local Wordpress XAMPP Installation Into A Live Site explains the steps involved.