I've previously blogged about a DBA toolkit on a USB stick. Now you can get the Sysinternals tools from the cloud. Just browse to http://live.sysinternals.com/ and click on the tool you need. It doesn't install, it just runs. Below is a screen capture of Process Monitor running from the the Sysinternals web page where Procmon.exe was clicked.
Alternatively, you can run tools from a command prompt using syntax following this pattern:
If you are running Vista with UAC enabled, you should run your command prompt as administrator because you'll get your results much faster. Running from a non-privileged command prompt is noticeably slower.