Download Portable Apps for Windows:
Portable settings? = does the program saves the settings with it? (using the method below)
Note: To make the ThinApped programs save the settings with them (and make them really portable), create a folder called "thinstall" in the same folder were the .exe of the portable program is... see image here (only works with some programs: the ones that have "yes" on the field "Portable Settings?")