I've followed the tutorial in the thread How to make a PERSISTENT live usb on windows using ext2 filesystem
When I booted from the USB drive, I got a message saying "SYSLINUX 4.07 EDD 2013-07-25 ..." and nothing else. It seems this is not unknown, so I'm going to try Rufus...
[LATER]
OK, I installed the ISO using Rufus, then tried to boot from it. I got the KALI LINUX boot menu, I chose Live (686-pae). The PC beeps, and displays two lines at the bottom of the screen
loading /live/vmlinuz ... ok
loading /live/initrd.img...
Then the screen clears, and the PC beeps again. Zilch! Just a flashing cursor.
The PC is a Dell mini-9, with latest (A07, 03 Nov 2011) Phoenix BIOS.