I've managed to get 2 USB drives in a software RAID in windows XP.
Anyway it's actually pretty easy, you use this program, called Osr Virtual Cd and Disk.
it's located here:
http://www.osronline.com/article.cfm?article=410
you have to register, but it's free, so no biggy.
anyway, what you do now is you create an .dsk file on the both the target drives, and you have to set a value what will be the piece of the drive you reserve for it.
next thing you do is you go to diskmanager, and there you initialise them, (I'm not sure what the exact terms are, I'm using a Dutch XP)
and then you click one, doesnt matter which, and you rightclick and hit create partition.
now you come into a wizard, and you just next it until you come to a step where there's 3 choices, and one is probably grayed out.
pick the middle one, but do read the description, I'm not excactly sure how it's called.
then you add the space from the other .dsk file too, and you have it format.
after that, you've got a full functioning USB RAID Drive.
. . .
one problem is that whenever you reboot, the application shuts down too, so the drive is gone when you boot up again.
If you save a file to it, and mount the drive again after a reboot, the file is intact.
it's back up again in a few clicks, but it's still a little annoying