It works under Windows, so it is not possible to run it directly on their own, but it needs Windows to be run.
It represents a parallel Operating System, and you can use it as if it was working on its own, store and save music, pictures or whatever you want, install the programs you want.
These files remain in the USB key or your iPod, so you will always have them at hand when you'll use another PC.
MojoPac is very similar to Windows: Start menu, icons, task bar,...
If your pendrive is big enough you can install games too. It's a good idea if you usually use different computer, for example if you go to internet points or at the university.