TimRod,
You are most likely not saving it to the Key but to the ram drive or hard disk, I have done this myself a number of times.
Boot from the key and exit to DOS, note the drive letter you are at, this will be your ram drive. Change drives and do a dir to find your USB keys assigned drive, it may be different from machine to machine. Then go back to your ram drive and type pcdr, This will start up PCDR. Run your tests then press F3 to save the log, type the drive and path in the box i.e. c:\testlog.txt .
-Fred