The difference between Slax for CD and Slax for USB
Both the variants are exactly the same. The only difference is in the distribution format. ISO is prepared for people who need a bootable CD. TAR is for people who need to extract the contents to disk. But as mentioned, the Slax inside is completely the same. You don't need to download Slax for USB if you have the ISO and you know how to extract it's content.
Slax for USB is a Slax distribution in TAR format, designed to be unpacked to a writable disk. If you don't know what TAR format is, you may imagine it as a ZIP archive. Extract (unzip) the archive directly to your USB flash key, to an MP3 player or even to a Hard Disk. Most archival programs can extract TAR without any problem. Slax for USB is set to save all changes you make to the boot device (disk), so it will behave like a normally installed operating system.