Portable gVim Preferences

You need to set those things inside your _vimrc file. You'll find that in gVimPortable\Data\settings there's the vimrc file; you can customise that as much as you like and it gets loaded at startup. So there you'll put things like:

set guifont=Lucida_Console:h10:cANSI
colorscheme molokai

(Molokai being the colour scheme that I use, and Lucida_Console:h10:cANSI being what I recall having set on Windows. Generally you'll want to :set guifont=* to choose a font with the font selector, then look at the value afterwards with :set guifont so you can copy it into your vimrc.)

If you wish to use another theme, download the themename.vim file of the theme and put it in Data\settings\vimfiles\colors. The same goes for syntax files, plugins, spell lists, etc.

In gVim Portable, $HOME is set to Data\settings, so whenever $HOME is mentioned in the help files, think of it as Data\settings. For example in :help vimfiles.