Running Windows 10. Nothing else - no special archivers or anything.
1) Download the Porteus ISO image of your choice. Do an md5sum on it - windows utils available for that but I won't get into that now.
2) CD / DVD install: You know the routine - right click, burn disk image. Old school stuff. Go to town.
3) USB stick install:
I leave the stick out for now. Doubleclick ISO image. Windows will now open it, and auto-mount it as what looks like a DVD drive (D: in my case)
Insert usb stick. Windows automounted it as a normal drive E:
4) Drag all the files from Drive D: to Drive E:
5) Here is where I laughed. On DRIVE E. Drive E, my actual stick, DRIVE E: Again, DRIVE E:
Single click and highlight
Porteus-installer-for-Windows.exe
Right-click on it, and "Run as administrator"
Tada! My problem was that I was always running the installer exe from the wrong drive. You run it from the drive you copied the files to. I could have sworn I heard brokenman chuckling at my gaff.

Congrats - from here you can boot, but think twice about creating a "dat" file to save your stuff to when you boot it, and it throws up that notification.
PERSISTENCE / SAVE FILE:
I can't leave you hanging. After the first boot, use the Porteus Save-File Manager utility to create a savefile. Now that it is made, reboot before making any changes so the system knows to use it. But we also need to tell it where to find that file now that it is made! Sometimes that can change but for now ...
The supreme flexibility of Porteus means you either quickie-edit the temporary boot stanza (hit TAB to enter temporary boot cheatcodes before it times out), and use the left/right keys to edit the default for changes to read: [your actual mounted sdXx device may be different than mine]
changes=/mnt/sdb1/porteussave.dat
If you want to make this permanent, manually edit (as root-toor) the
/mnt/sdb1/boot/syslinux/porteus.cfg
and put the changes= line shown above at the end of the APPEND line the graphics section. Don't do this to the Always Fresh section obviously. You may want to do this at the Copy To Ram and Text Only sections if you like.