Install esxi 3 on a USB thumbdrive

See this vminfonl-guide-create-an-esx-3i-usb-boot-key

In short :

1. First get the following tools: 7-Zip(Free), WinImage(Demo)
2. Download the ESXi ISO
3. Open the ISO with 7-Zip
4. Extract “install.tgz”
5. Open “install.tgz” with 7-Zip
6. Click on “install.tar”
7. Browse to “usr\lib\vmware\installer\”
8. Open “VMware-VMvisor-big-3.5.0_Update_2-103909.i386.dd.bz2″
9. Extract “VMware-VMvisor-big-3.5.0_Update_2-103909.i386.dd”
10. Open WinImage and go to Disk, click on “Restore Virtual Harddisk Image on physical drive”
11. Select a physical drive
12. Select “VMware-VMvisor-big-3.5.0_Update_2-103909.i386.dd”
13. And click “yes” to write the DD image to the USB Disk

Reference from : http://www.yellow-bricks.com/2008/07/29/esxi-35-update-2-on-a-usb-memory-key/