See http://forums.remote-exploit.org/bac...-tutorial.html for a possible bug with Install.sh
Either using a live CD or a live USB and then using the Install.sh command, sometimes the long process of applying a persistent BT4 Pre-Final is successful EXCEPT for the grub installation.
You can tell if this is the case if you attempt to boot into the newly minted persistent usb and just get a blinking cursor after booting.
If so, do the following:
...Before logging out of BT4, pull up an xterminal and type in:
...mount /dev/sd1 /mnt/sdb1
...grub-install --no-floppy --root-directory=/mnt/sdb1 /dev/sdb
and adjust menu.lst
Or, more simply forget install.sh and use the BackTrack USB Install video here:
Backtrack 4 USB Install - Offensive Security
Hopefully, this bug will be fixed in the BT4 Final.