Am I wrong about the U3 smart drives?

[VeryTnA]

It looks like if you surf through your U3 smart jump drive using Firefox your tacks are untraceable. Cookies, spyware, trojans etc. can't / don't make it to your C: hard drive.

Anyone have more knowledge about this product. They even have a Party Poker client that says you can play without adding it to the hard drive. Poker at work....here I come.

Any tech feedback would be appreciated.
Thanks!!!