Step 4 is optional. You have three options :
Enable launching LinuxLive in Windows (= Virtualization)
This is the most important option. It allows you to launch a LinuxLive directly in any windows without any configuration nor software installation on your hard drive. You will not find this option anywhere else.
LiLi USB Creator made it possible with a special home-made version of the famous virtualization software VirtualBox. It will download and put a portable (no installation) version of VirtualBox on your key and will set it automatically for you. If you don't know what virtualization is, then read What is virtualization ? article of the FAQ.
To launch your LinuxLive in Windows, just use the Virtualize_This_Key.exe* located in the VirtualBox folder in your key.
It is greatly recommended to install the "Clients Additions" in order to enhance performance of your LinuxLive.
Be aware that you need local admin privileges in order to launch VirtualBox.
Hide created files on key
This will just hide the created files on the key. The files will be invisible only in Windows because of attributes S (system) and H (hidden). To see the files, go in Folder Options and check "Show hidden files" and "Show system files".
This option is quite useful because many files will be created on your key.
Format the key in FAT32
Use this option if your key is using NTFS, if you need more space or if you want to clean your key.
Be careful, it will erase EVERYTHING on your key.
Do not ask me to make it work on NTFS, it does not depend on me.