It would be really cool if you could get Visual Studio on a pen drive.
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Visual Studio 2003 / 5
this out, but, Sorry it looks like it's a M$ product, it's closed source, it's license doesn't allow for it to be modified in any form or fashion. Plus, it's dependent upon the .Net platform and that prevents it from being made portable. .Net is an installed application that cannot be made portable itself. I'm not sure what this is, but if it is an image program, have you checked out Gimp portable? It might fit the bill of what your looking for. Again Sorry, but Welcome to PortableApps.com
There is a CodeBlocks portable in the forums. That is about as close as you are going to get for C++. For .NET development I'd check out MonoDevelop and and run it with mono.