2016 Ubuntu 11.10 is no longer supported, but a normal install should work for all versions, as long as you unplug your internal HDD first.
To customize the install to suit pendrives, (optional). When installation gets to Partitioning select "Something else".
Leave the first partition FAT32 so items in that partition can be accessed by Linux or Windows.
Make the second partition ext4 and select "/" for mount point. This is where the system will be installed.
You can optionally make a third partition ext2 or ext4 and set mount point "/home". This can save the data in your home folder during upgrades.
You can make a fourth partition as swap but many people don't use swap on flash drives as they are afraid of making too many writes to the pendrive,
Pendrives are normally good for over 10000 writes, at 50MB/s, this is a long time, years or decades depending on pendrive size. pendrives also use wear leveling to distribute writes over the drive. if it ever does wear out it will turn read only and data will not be lost.
After partitioning continue with the install.
If you are OK with a persistent install try mkusb, it will make a Live USB install with persistent partitions. left over space is turned into a NTFS first partition that Linux and Windows can both use.
See Running an install from a flash drive for comparison between Persistent and Full install.