ok first off, plug in your Flash drive. Go to My Computer and look for your drive. Note what the Letter is before the name of your drive. (I.E. "H:/RCortinow256") In this case the letter would be 'H', so when I'm installing the Maple Client and it asks:
"Please select the directory for Maple Story to be installed:" (there'll be a box below it that looks like this:)
[C:/Program Files/Nexon/MapleStory]
Simply change the 'C' to the letter of your drive, in this case 'H' so that it reads:
[H:/Program Files/Nexon/MapleStroy]
And finish installing. ^_^ Now all you need to do is plug in your Flash Drive, and navigate to the Maple Story Folder and run the game client.