Use Unetbootin. It's a (I think linux-only) utility for creating bootable flash drives from any iso file. You would have to first make sure you have a Windows XP CD, then use some sort of utility (not sure what) to create an iso, then unetbootin it onto your Cruzer (yes, cruzers are U3, but that doesn't apply here, you will have to remove U3 if you have it).