I am reasonably sure you can accomplish what you seek with Puppy Linux. It's small (<100MB), fast (runs completely in RAM), and it can either be installed on a USB or boot from a CD and save session settings to a USB. It is also supposed to be capable of saving session settings to an NTFS partition.
Regarding learning Linux, the book I recommend to someone who is brand new is
Test Driving Linux. It is a little old, but fine for learning. For more advanced users, I recommend
Guide to Unix Using Linux. I used this book for a class and although it is a little dry, it is quite comprehensive and reasonably easy to follow.