Is it possible that create a portable version of the KDE for windows so we can have KDE run on USB drive? or at least some of the applications?

You can certainly try installing KDE directly to the USB drive, and I would assume that you should be able to run the applications on any given Windows machine (the installation is pretty self-contained). I'm not sure if there is an option to use a "portable" settings directory, though, so your settings wouldn't go with you and it would create the .kde folder on each machine that you used.

You can also try asking about it on kde-windows(at)kde.org - the mailing list for the project.