1) download kali linux

2 ) use the latest version of UNetbootin ( unetbootin-windows-583 )

3 ) plug in you're USB stick ( it should be FAT32 formatted )
launch UNetbootin and "burn" the image to you're USB stick
remove you're USB stick correctly.

if you use earlier versions of UNetbootin the startup menu is not correct.

see : http://docs.kali.org/wp-content/uplo...ersistence.png