Parallels is a very good emulation program that lets you run an entire Windows environment on your Mac. There are actually several ways to run Windows on the Mac.
This is Apple software that has the advantage of being free (it comes with OS X 10.5 aka Leopard). Boot Camp lets you install Windows on a separate partition and boot into Windows natively. Your Mac becomes a PC. You need a valid copy of Windows. The specific requirements for Windows on OS X 10.5 can be found here:
If there was any hope for the U3 drive to work, it would be in this mode. Also, you would need to protect your Windows partition in exactly the same manner you would be expected to if the software was running on a Dell.
This is emulation software that allows you to run Windows side by side with OS X. If you've already set up and tried out Boot Camp before purchasing parallels, I believe you can just continute to use that partition. In any event, it is very nice, but it has a much worse chance of being zero footprint or working with a U3. Parallels is about $80. http://www.parallels.com/store
A lesser used emulator is Fusion. http://www.vmware.com/products/fusion
An ALMOST zero footprint solution for you, though, could be to create a home folder on a "file vault" disk image. It would work like this:
The laptop would have users account set up for each user in your house (if desired). In addition, another user would be set up that only you knew about. It could be hidden from the login window (or if you have auto-login enabled, you'd bypass the login window). From the log in window, you would press "other," then use a name and password XXXXX you knew of.
Okay, so far not very impressive security. Anyone with an admin account would be able to see the user in the Accounts preference pane. Where your home folder resided, however, is where the security kicks in.
FileVault is a data protection system that's been around for the past two major OS releases. It uses encrypted file systems that are mounted as a secure disk image when t user logs in, and unmounted when the user logs out. The home folder is encrypted with a key based on your password. Forget the password, and you are pretty sunk. The encryption is AES:
Every file that is created is encrypted (or decrypted if you are opening something) as needed. Your encrypted data is packaged into 8MB chunks instead of one large file.
Should you decide to surf with a proxy server while logged into a filevault account, I should think that you are as close to zero footprint as you'd ever need to be.
Does this help? My advice; GET A MAC!!! At the very least, your kids will love you for it. : )