I don’t think anyone would recommend that you can install ESX on a USB drive. (you can’t do it by itself any way, since typically you can’t boot from them and still boot from your internal hard drive)
VMWare only needs a single machine to install on. You don’t even need to use the ESX version to work with it. You can use the VMWare Server which is a free download and runs under the Windows OS already installed on your PC. this is likely the best path to get you running with vmware.
If you want to use ESX however it’s going to need a dedicated machine as ESX is it’s own operating system, however, if you only want to play with VMWare there are reports that you can install ESX in a Virtual Machine under VMWare workstation (possibly VMware server as well) in this question on ITKE. I would caution you, if you try this path you’re likely to get a LOT of people saying it can’t be done because not many people have tried it or becasue they don’t know differently– so you’ll likely be on your own. Nothing wrong with that, but you’ll have to dig deeper to get help from others is all.
Bad news I am afraid, unless you have SCSI disks or a top motherboard with supported RAID arrays for SATA disks ESX will not work on IDE at all, try USB boot and use openfiler on another PC with iSCSI target enabled and you may get away with it but with only one machine and no SCSI try the server version, is very similar to ESX and will get you in the virtual frame of mind, there are plenty of people here who can help with most questions you may come accross
sorry to be the bearer of bad news, check out VMWARE site for raid arrays supported for SATA