Well VMware provides a program that does it, ThinApp (previously Thinstall) but basically it's simply containing a program so nothing is added to the registry and no information is saved in the Application Data folder, for example -  it leaves no trace of it's execution because it the only files it needs/uses are with it's portable installation on your drive (programs store their configuration, settings, etc in these files).

With PortableApps.com I believe they might change some of the programs they provide because they are open source, but quite often you'll get "Launchers" that route where the temporary files go, so long as it goes to the same place it's installed on your USB Drive.

Here's the Guide on the PortableApps Forum: http://portableapps.com/node/14868

Here's another guide that might do the trick: http://inshame.blogspot.com/2007/10/how-...tions.html

If you're looking for a specific program in portable form you might find it here: http://portableapps.com/forums/development/beta_testing