This is different (for Microsoft, anyway).
The software behemoth is now taking a cue from the Linux community and its "Linux Live" disks, which have been around for years. (Such a CD/DVD boots Linux on a computer instead of the Windows on its hard drive, sets up a small Linux "hard drive" in an apportioned area of memory for scratch files, but does not read or write anything from the host PC unless you tell it to.)
Windows on a stick adds a twist to the above scenario by storing Windows 8.1 on a USB memory stick also equipped with an embedded microprocessor!
Here's a Microsoft description, in corporate-speak: