To install on a USB stick:

    grub-install --root-directory=/media/sdb1 /dev/sdb


Then create a minimal /boot/grub/grub.cfg:

    # Timeout for menu
    set timeout=10

    # Set default boot entry as Entry 0
    set default=0

    # Entry 0 - Load Linux kernel
    menuentry "My Linux Kernel on (hd0,1)" {
        set root=(hd0,1)
        linux /vmlinuz root=/dev/hda1
        initrd /initrd
    }

    # Entry 1 - Chainload another bootloader
    menuentry "Chainload my OS" {
        set root=(hd0,3)
        chainloader +1
    }

    # For booting Memtest86+
    menuentry "Memtest86+" {
            set root=(hd0,1)
            linux16 /memtest86+.bin
    }