I heard it was much more complicated.. I saw you had to write a .bat script to open it that redefined the AppData folder
I think the problem is your question isn't asking what you want it to ask. I could be wrong.
You are looking for a way to run Bitcoin from a USB key? You are not looking for a way to save your wallet and copy it into another existing Bitcoin installation?
There is a way to run Bitcoin from a USB key and you are correct, it requires a .bat file.
I'm searching the forums for the solution.
Edit: Does this thread help? http://forum.bitcoin.org/index.php?topic=26.0