If you want your drive to automatically run an executable when you plug it in, and you don't want to buy a U3 drive, you're in luck. Here's what you do:
First, you have to make sure the computer you're at supports this trick. Insert a USB flash drive into the computer; a dialog box should pop up asking what action you want to take. If that dialog box appears, then this trick will work.
Open up Notepad or another text editor, and type in the following code:
[autorun] open=PStart.exe icon=icon.ico action=Run PStart
Save this as autorun.inf in the root of the drive. Now, when you insert the drive, the first option in the dialog box will be "Run PStart." Neat, huh?
You can customize this -- "start=" tells the computer what application to run, and "icon=" tells the computer what icon to assign your drive. "action=" doesn't really matter -- you can change this to whatever you like.