I have no doubts there are many people writing about this; so add me to the list.  I wanted to setup my small ESXi 4 Server to boot from USB media so that I no longer needed to have a local drive in the machine I use as a server.

Using VMware Player and a USB Stick, I was able to do this in a few simple steps.

[Step 1] Create a new 64bit virtual machine – this is very important as ESXi requires this.  Make sure that the virtual machine is configured with a USB controller.  I had also removed the virtual hard disk and other devices such as sound card, and printers, etc.

[Step 2] Mount the ESXi Install ISO and insert a USB Thumb Drive

[Step 3] Power on the virtual machine and make sure the USB Thumb Drive is made available

[Step4] Run thought the ESXi installer and select the USB drive as the installing disk – At this point we are just waiting for the installation to complete.

[Step 5] When completed, you will be asked to reboot the system.  At this point you can reboot and remove the USB Thumb Drive from the computer and plug it into your server.   Make sure your server is set to boot from the USB Thumb drive

When completed you will have ESXi running and you are good to go.  Enjoy!