If you are looking for a really simple, free and portable ftp server for Windows, then visit StahlWorks.com and get their excellent Swiss File Knife. It’s a single, small executable with no dependencies that brings a ton of features. If you have it, just run …
sfk ftpserv -rw
… and enjoy your zero-install, ultra-portable ftp server!
Mercurial is a really nice revision control tool, but unfortunately there are no portable binary packages for Windows. They do offer msi packages, though. But retrieving their content without actually installing the software is a bit tricky.
You can just unpack them using 7-zip, but you are likely to get garbage.
Using your favorite search engine, you will find suggestions to perform an administrative installation using msiexec /a. Well, don’t. That’s just a normal installation, but without the GUI of the installer being shown.
Fortunately, there is lessmsi. It allows to open, inspect and extract Windows Installer packages.
For TortoiseHG, download the binary .msi package from the Mercurial homepage. Run lessmsi, open the .msi package and select “extract”. Mercurial will be extracted to WheretherYouExtracted\SourceDir\PFiles\TortoiseHg, and the original folder layout of Mercurial will be preserved.
Lessmsi is provided under the MIT License and does not require installation. Just download, unzip and run it.
You are looking for a Python version to run from your USB drive? Then relax and head right over to python.org! They provide up-to-date versions of Portable Python. Even more, they bundle all the plugins you will need on Windows:
* Django-1.0.2-final
* IPython-0.9.1
* PIL-1.1.6
* Py2exe-0.6.9
* PyGame-1.8.1
* PyReadline-1.5
* PyScripter v1.9.9.6
* PyWin32-212
* Rpyc-2.60
* SPE-0.8.4.c
* wxPython-unicode-2.8.9.1
Ok, nearly all the plugins you will need 
Have a look at pymssql.sf.net for a Microsoft SQL Server module.