The question is why do you want to do such a thing?
USB drives are far slower than a hdd, and unless it is only games from the 90's your playing, load times and general performance would be awful.
Installing to a removable drive, you always run the risk of screwing up the filepath references (many games install to multiple locations within windows even if you specifiy the main directory) and you cannot just copy modern games to different locations for this reason. Also the drive letteer of a removable device may change, again screwing up the file references
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Oh and DVD's go up to '8.5GB' DL, not just '4.7GB'