Found a way! But there is a small problem which I have explained at the end of this. Have been smashing my head against this for over two hours! Here are the steps to create a bootable USB key (from within
Windows).
[*] Create an empty virtual machine in VMWare. Basically use custom config and delete the hdd from the settings after creating the vm.
[*] Configure the vm to boot from a geexbox iso.
[*] Insert an empty usb key into a usb port of your computer.
[*] Boot the vm and immediately get into the bios (or use pause-break).
[*] Use the VMWare removable devices menu to attach the usb key to the vm.
[*] Let the vm booting process continue.
[*] When the geexbox screen appears, press F1 and then type install at the boot prompt.
[*] Select device to use (you might have to use check/ refresh a couple of times).
[*] On the cfdisk screen delete the existing partition (sda) and create a fresh partition of the full size, mark it bootable, and set the type to FAT32 (0B).
[*] Then write partition table to the key and quit.
[*] Now the geexbox config menu appears where, after you reformat /dev/sda1/, you can config various settings (since I am doing it in vm, I use 16 bit depth, else installation fails). Then finish the installation. An installation success prompt should appear at the end of the process. Else something is wrong.
[*] Close the vm, reboot host computer and make necessary changes in bios to enable booting from usb hdd.
[*] Comp. will now boot into geexbox.
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Only problem is that I have not been able to hear a single sound even though I have tried to play flac and mp3 files and even an audio cd. I think this might be because of my having done the installation from the vm without it having a sound device or my having used a default geexbox iso. But I am sure you people will be able to figure that out. If you figure it out, post info on how to fix that problem. Otherwise, I think this works.
Standard Notice:
1. I am not responsible for any data/ device that is destroyed/ becomes unusable in the above process.
2. If you don't know what you are doing, don't do it.
UPDATE:
I booted (in vm) using default geexbox iso and could play audio cd inside that (when I added sound device to vm) . But while installing onto usb key, vm core-dumped.