creating a bootable USB stick is a good step for you to experience a different operating system. By doing it this way you will need to keep in mind that you are not running two OSes at the same time, you will be running the one in the USB stick and nothing more. For sure you will have access to the files storaged in your computers hard drive but you cant run any application installed in your hard drive.
Another thing you need to keep in mind and it is importand to understand that an OS running from a USB stick or CD or DVD it wont have the same speed as if you have it installed in the bare metal of your computer.
Also remember that most live session ISOs are not distributed with the full pack of codecs and other propietary software you would want to try, so if you are in a live session and you decide to check out a video in Youtube you will find out that you need to install Flash and flash plug in, or if you want to play some music you will need to install codecs for that live session.
With that in mind the program you need to create your bootable USB stick is called UNetbootin and you can find it at this link http://unetbootin.sourceforge.net/
Once you have that installed in your computer it will download the OS of your choice for you and it will install it in your USB.
That web site has the instructions on how to make it work
Good luck to you and if you have a multicore computer with more than 4 GB of RAM then give virtualBox a try https://www.virtualbox.org/
Remember to do some reading before you make a decition.