How to setup unix training class with thin clients and a blade server?

Hello folks,
I have to conduct a demo session on bash scripting in any unix/linux distro to my colleagues (12 of them). Our company has not appointed a system administrator for linux. So I am seeking help from you all.

We only have thin clients running windows XP and are connected to a blade server. So, unable to install anything in the client PC. I did some research and understood I have following options:

  1. I can run ubuntu desktop/server on the blade server and access it from thin clients using PUTTY.
  2. I can use Slax (bootable from USB pen drive) within windows and use the terminal in Slax.

Which of the above is advisable? Are there any other possibilites? Would appreciate your help.

Thanks