They're all Linux compatible.
Treat it like any other hard drive, use either partition magic or linux cfdisk to destroy the current partition table and make 2 new partions.
After that, just follow the instructions for whatever distro you are using.
You're better off using one that's designed as a live CD and following a how-to on convering it for USB use. You can also just install linux on it like it was a normal hard drive, but this will not give it good portability.
While Linux has amazing hardware support, and will boot in almost any system, because it's on a USB key, you do not know for certain what the device will be called on that machine. Eq...on a machine with no SATA drives it'll probably be /dev/sda but if the machine had 2 sata drives and another USB stick attached it would be /dev/sdd.
The scripts on live cd distros sort all that out for you on every boot.