Have you tried MPlayer Portable? For modern needs, also check out MPV Portable—but don’t count out the original that started it all.
When it comes to lightweight, no-nonsense media players, few names carry as much weight as MPlayer. And for users who need a powerful video solution that fits in their pocket—or on a USB drive— MPlayer Portable delivers the full desktop experience without leaving a trace on the host computer. What Is MPlayer Portable? MPlayer Portable is a repackaged version of the classic open-source MPlayer, optimized to run entirely from removable media. It requires no installation, writes no settings to the Windows registry, and leaves no configuration files behind on the machine you use it on. MPlayer Portable