Even with a VHD you still need to install the OS you want on the hardware you will be using, the best way to get a diskless OS is a LivePE - such as WinPE10 SE found at
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To make your own VHD file is as easy as right clicking you "This PC" icon and pick Manage, in Disk Managment you use the Action menu and choose "Create VHD", once you set sizes etc you can then use EasyBCD or other methods to make the VHD an option from the boot menu, if you want it for a USB disk then you will need to do a little more messing about and it will not work if you copy it to a new USB disk as the ID number changes.
As a note, you can get pre built LivePE's on all LastOS releases, including LastXP, LastOS7, Awaken 8.1.3, Last10. Some are hosted here at TeamOS if you want to try them, Winbuilder is very easy to master tho.