Yes, you can set this up on both Linux and Windows. Most USB drives come pre-formatted with the vFAT file system, which works on Windows, Linux, and MacOS. On my Ubuntu Linux machine, USB drives auto-mount with the noexec option, which gives me a "permission denied" error when I try to run anything from the drive. To fix this, re-mount the drive with the exec option:
$ mount -l | grep /media/danlee/062F-AEF9 # find the USB drive that needs remounting
/dev/sdXX on /media/danlee/062F-AEF9 type vfat (rw,nosuid,nodev,...)
$ sudo umount /media/danlee/062F-AEF9 # unmount it
$ sudo mount /dev/sdXX /media/danlee/ -O exec # remount it with the exec option
$ cd /media/danlee/VfxForth64Lin/Bin/ # cd to the VFX Foth bin directory
$ ./x64.elf # run VFX Forth
MPE Cross Compiler v7.61 [build 0489]
Target: X64 64 bit VFX NCC
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MicroProcessor Engineering Ltd.
bye