[Horace]

Portability depends on two criteria being met. One that the program doesn't depend on install-time registry settings, if it does you could pull the registry entries and have the entries added at autorun. The second criteria being that data and executable locations are dynamic and can be addressed from removable media. Also you'd need to make sure files aren't being loaded into the system directories (windows/system/system32 etc.) during install.
I've had quite a bit of success getting emulators running using removable media, some like MAME are a breeze but others sometimes needed recompiling or require using the methods I mentioned above.