Yes Umath,
If it is a windows distributions, this could be done. You know, and you can find it on the net that Firefox in total can be saved on a flash drive and taken inside your waistcoat breast-pocket, why not a windows firewall like Ghostwall. Just like a firewall is run from a CD certain cracking techniques are not available for remote intruders, and that is a re-assuring thought. If the technique is there, why not use it for the benefit of all. And of course what is benevolent for the gamer, can be security-wise for the general user as well. Put your firewall in your USB partition, and be protected. Why I have to think of this, and not somebody before thought about this? Only you have to switch from general fw to USB loaded fw.
greets,
polonus