Has someone done the work already

Sort of. To create Vanilla/Strawberry Perl, I use Perl::Dist::Strawberry, which uses Perl::Dist::Builder. The latter badly needs a re-write -- which is high on my list of "to-do" as soon as I have time. However, in the meantime, it may work for you, like this:

1. Install some sort of Perl on your Win32 machine. (ActiveState or Strawberry, most likely.)

2. Download and install Perl::Dist::Strawberry (and dependencies). Right now, that's an annoying process of CPAN install to get dependencies and then download the tarball again separately into a working directory. Change into that directory.

3. Edit strawberry.yml and change the image_dir parameter to the drive/path of your desired USB key perl. E.g.

   image_dir: e:\thumb-perl
   [download]

   Note -- you may want to force your USB key to a high drive letter and always use that. Until we have "relocatable perl" (hopefully the next release), the hard-coded directories during compilation are used for @INC. That means that compiling to e:\thumb-perl and then mounting the key somewhere else as g:\thumb-perl probably won't work.

4. Set your environment variables to take defaults and skip some testing:

   > set PERL_MM_USE_DEFAULT=1
   > set AUTOMATED_TESTING=1
   [download]

5. Run "perl bin\build_all.pl"

6. Wait for all the various Strawberry Perl binaries and Perl sources to download, install, compile, etc.

No guaranteees that will work -- each Strawberry Perl build still has an element of hope/prayer to it. But I wish you luck.