Any Thin Client Gurus ?

Does anybody know if I was to set up a cheapy thin client like WYSE with XP imbedded, I could add a small application called OddSock (audio streaming). That program would stream radio scanner traffic. I currently run it on a desktop, that crashes too often and needs reset, but I'm not at home when it does. Anyway, I like the fact that it uses less power to run, and should be pretty much set and forget it operation. If this works well, I'd like to set up one to run a streaming weather station too. If the device has no "hard drive" to load to, could this device run application off of a thumb drive? Sorry if this is confusing, hard to post the real jist of my question.