Running SharpDevelop on USB thumb drives has been possible for a long time. What is new in version 3.0 though is that the settings that usually go into the user's profile can live directly on the memory stick - allowing you to take your settings with you at all times. Here is the procedure:

Download SharpDevelop 3.0 and perform a standard installation on Windows. By default the installation location (on an x64 machine) will be the following:

Simply copy the 3.0 directory to your memory stick, and then open the \bin directory there:

There, you have to open SharpDevelop.exe.config - and search for the appSettings section which by default looks like this:

 <appSettings>
  <!-- Use this configuration setting to store settings in a directory relative to the location
       of SharpDevelop.exe instead of the user's profile directory. -->
  <!-- <add key="settingsPath" value="..\Settings" /> -->
  
  <!-- Use this setting to specify a different path for the code completion cache.
        The cache contains information about referenced assemblies to speed up loading
        the information on future SharpDevelop starts. -->
  <!-- <add key="domPersistencePath" value="..\DomCache" /> -->
  
  <!-- Use this setting to disable the code completion cache. Code completion will still be
       available, but take longer to load and use more RAM. -->
  <!-- <add key="domPersistencePath" value="none" /> -->
 </appSettings>

The comments tell you what to do, basically uncomment settingsPath and domPersistencePath:

<add key="settingsPath" value="..\Settings" />
<add key="domPersistencePath" value="..\DomCache" />

Save the file and you, SharpDevelop and your settings are ready to go. Note that once started the two directories show up in the directory tree: