that previous reply was all B.S.
this link will answer your questions...
https://wiki.ubuntu.com/LiveUsbPendrivePersistent
the short answer is to install Ubuntu to a thumb drive and boot and run it off the thumb drive. all your settings stay with you.
if you have to use a cd drive then mounting your home drive off a thumb drive would allow you to maintain your settings. do a google search on "ubuntu persistent" and the first few results have script examples on how to do just this.
if you are stuck using CD only, then i'm not to sure if it can be done (remote mounting of /home through a network?)
hope this helps (it will be more helpful anyways than the non-answer that AceofSpades19 gave you)