Also, when Sonar installs it writes data to the Windows Registry. If you simply copy the program to an external drive and then plug the drive into your laptop and try to run Sonar, it will not function properly. If you want Sonar on your laptop you will need to install it there.
But like others have said, the basic program is not that big. And you can install Sonar with fewer options/features to keep the footprint as small as possible.