How install Kali Linux on live mode?

Plug the USB installer into the computer you are installing Kali on. When booting the computer, repeatedly press the trigger key to enter the boot option menu (usually F12), and select the USB drive. You will then see the Unetbootin bootloader menu. Select the Live Boot option for Kali Linux.

Should I download Kali Linux installer or live?

Each Kali Linux installer image (not live) allows the user to select the preferred “Desktop Environment (DE)” and software collection (metapackages) to be installed with operating system (Kali Linux). We recommend sticking with the default selections and add further packages after the installation as required.