This is what I would suggest -
Install slackware onto the USB drive;
without rebooting compile the kernel to generate the required modules see http://www.linuxquestions.org/questi...5&pagenumber=2
for the modules required
create the initrd image with the required modules;
create a boot cd, with the kernel and initrd;
test to ensure that you can boot from the cd;
do the lilo/grub business so that you can boot into slackware from the USB drive. This is the fun bit as if you're not careful you will overwrite the boot sector of your internal hard drive. If this happens get a live distro with testdrive-static so that you can recreate the win boot thingy on the internal hard drive.
I've been running with Slackware on a 20GB USB drive for several years upgrading through various releases in the process.