Alot of programs can be made portable by just copy & pasting from your directory to your USB drive. Alot cannot be, but many can.
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Many programs use the registery to store user settings. Other applications use subdirectories in "My Documents". Some programs even use a new folder in the "Application Data" in your Documents and Settings directory. It differs from application to application.
To track these down, use RegMon and FileMon to see what is saved locally.
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