How can I create a launch menu for a USB drive?

I'm putting together some USB drives with some self-study information. I'd like to set up a menu that would pop up when the USB drive is mounted. This menu needn't be complicated. Ideally, I'd like to be able to do multiple levels (like a DVD menu), but I'd be okay with just a simple menu with 5 or 6 links/buttons.

Since I'd expect most of the users to be using Windows computers, I'm looking for something that works in Windows, from Vista to the current version. It'd be great if I could do the same for Mac and Linux, so if you know a solution for other platforms, please pass that along too.