I'm sure there are more elegant ways to solve this, but a quick and dirty solution might be put puppy on a usb drive, then use vmware or virtualbox to open it as an iso, when you need to use it from within windows. In the "guest settings" change the "cdrom" to an iso image, located on the usb drive. I haven't tested it, but it should work. I prefer virtualbox, which does have a windows version, but I think you have to use the closed source version (but still free as in beer, I think) to have usb support, but maybe not. This I can test quick....I think the closed source version supports usb for the guest, I think you can use an iso image on a usb drive from the host with either version. I'll test it out quick and get back to you here.
OK, I just did my little test, and virtualbox, the free GPL version, boots up with no "hard drive", just an iso image located on a usb thumb drive. Now, you just need to make sure that the iso image located on a thumb drive will boot up without virtualbox or vmware or whatever looking after it. I did also find another post about just this sort of thing.