Download from PortableApps.com
Qmmp Portable can run from a cloud folder, external drive, or local folder without installing into Windows. It's even better with the PortableApps.com Platform for easy installs and automatic updates.
Qmmp is an audio-player, written with the help of the Qt library. The user interface is similar to winamp or xmms. Alternative user interface also is available. It includes support for a wide array of audio formats, chiptune formats, tracker formats, and more.