YUMI on WinXP has worked reliably for one live PCLxOS at a time, without disc or flash storage waste, combined with gPartEd, PartEd_Magic and other toolsets. Study of YUMI's syslinux and other cfg files shows a simple and effective multiboot approach, provided the distro iso respects standards, which provides a smooth path for people looking to leave Windows XP (before MS "drops support") to try alternatives live before buying in.
An old cruder multiboot tool used grub4dOS to boot from a choice of (contiguous) iso images; it required enough memory for ramdisk and distro. There are many examples of the menu.lst used to launch many distro images scattered around the web; RMprepUSB.com has good tutorials on it. It's possible to put quite a few PCLinuxOS iso images on one stick for live demo or install this way.
Crude tools like dd and its variants - madriva-seed, fedora-usb-creator, unetbootin and win32diskimager - should only be used on a clean-wiped (disposable) pendrive.