Kali Linux can be run in many ways and no single way is the best, how you run Kali is what fits your need. The most common way is to use VMware and run Kali in virtualization but you can also boot Kali from a DVD or flash drive. Here is how to make a Kali Linux live flash boot drive.
First download the Kali Linux ISO here http://www.kali.org
Offensive Security recommends a 8 Gig flash drive with a minimum of 4 Gig flash drive. I have never used a 4 Gig only 8 Gig or bigger so I would suggest at least 8 Gig.
We need software to write to the flash drive. There are many software packages that can do this, for this example I am using Win32diskimager which can be downloaded here. http://sourceforge.net/projects/win32diskimager/
Once Win32diskimager is installed load the Kali ISO into it and write it to a flash drive. I made a video above showing step by step how all this is done.
Once a Kali Linux USB boot flash drive is created it can be used to boot any computer to Kali Linux.
If you have problems making a Kali Linux flash drive for what ever reason it can always be bought online on Amazon Here. Amazon Kali Linux flash drive