Just thought everyone would LOVE to know! GVim is already available as a portable app! I thought it would be listed here but I don't see it. It installed fine and works great! Although I don't use the menu that you have - I don't remember where I got the one I use (it's called Pstart.) I read about it (and portable apps) in Windows IT Pro magazine.
Here is the link
As a side note, my setup sits on a truecrypt encrypted volume on my USB key. And it works great!