option to run from computer as well as to download to USB stick.
It may be what's called a portable version of the program
i.e. it does not need to place anything in the windows registry to be able to run
therefore it will run on any machine you plug the USB drive into.
(viruses work like this to spread from machine to machine just like in the old days of floppy disks).
I run several kinds of portable programs you can even get a whole operating system to boot from and run off a USB drive (windows is quite hard to do but several kinds of linux are made especially to do this we use it to recover data from machine that will not boot into windows.
Have a look at http://portableapps.com/