I think there should be an App like the U3-Usb Sticks (but no depend on the hardware).
I don't now if this is possible but it would be a large step to Software on USB.
It could block the registry just for the programm you start with this Software and copy the registry entries in an .reg datei.
If this is possible, i think it would be an really good programm.
Please excuse my bad english i'm from Austria