For those that are interested in making their applications portable, there's a new kid on the block - well, it's been around since April but I haven't seen anyone mention it here.Cameyo - Free Application Virtualization
Very easy to use and you end up with a single executable application 'package' which seems to run ok on other Windows OSes, (providing the necessary dependencies are there of course).
A slightly cheaper alternative to ThinApp.Addendum:
From browsing the forum, you can add a parameter to the executable command line to remove the temporary files from the host system: "yourapp.exe -remove".
Also, the latest beta can be downloaded from here
EDIT: Change the subject to be a little more descriptive.