I downloaded ESXi 4.0 from VMware (you have to register) and with very little effort installed it on a USB stick and booted my machine with it. Vladan Seget’s blog comes up first in Google with a procedure and comments on how to do this. I had to use the slightly longer (WinImage) method as I don’t have a CD drive. The other bits, extracting etc. I did with Linux commands. No doubt I could create the bootable USB stick from Linux too with a bit of work but it hardly seems worth it since it is so easy to do with a bootable CD.
Next step to get the management tools and build some O/Ss.