I think I see what you meant.
I went here
. It says you can have persistence if you use a usb drive.
Having a Live USB key is better than just using a Live CD because you can even save your data and install software. This feature is called persistence (available only on selected Linux).
Read the FAQ for more information.
In order to make a CD persistent, you would have to make a folder on the Windows partition to store your configurations and any files you add during you session so they could be read in next time. That functionality would have to be built into the Gnome CD.
I can't swear to it but I think Parted Magic has that capability.
Burning an ISO image in Microsoft Windows.ISO Recorder
is a freeware tool which makes image writing available from the Windows desktop. Download and install ISO Recorder according to the instructions on their home page. You can write images in much the same way as under GNOME in Linux: browse to locate the file, right click on it, and choose ‘Copy image to CD’. This is the simplest available method for writing disc images under Windows.
Running an ISO image in Microsoft Windows.MobaLiveCD
allows you to test your LiveCD with a single click : after downloading the ISO image file of your favorite LiveCD, you just have to start it in MobaLiveCD and here you are, without the need to burn a CD-Rom or to reboot your computer.