Hello!
Take a look on http://www.giesa.altervista.org/openfirewall/ .
The development had a big break, but it will continue soon as in sf.net forums announced.
This firewall is basicly a frontend for the windows port
of the packetfilter wipfw: http://de.wikipedia.org/wiki/Ipfw / http://wipfw.sourceforge.net/
and
TDI-based open source personal firewall: tdifw http://tdifw.sourceforge.net/
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even the free ones have to have some administrative access. this need for core administrative access and how they work makes it impossible to make a portable firewall.
IF by chance there is a portable firewall out there it would be useless.
there have been discussions on portable firewalls before so if you want to read up on the discussions on why it cant be done please do a search :).