Hi Kriven. Yeah, Duck's right when it comes to Windows games, though there are portable games that would allow for it. Actually a lot of games do allow for it, assuming DirectX and the C++ runtimes are installed, etc. That said, in general it's often not a good idea to move Windows applications around, yeah.
The MS-DOS importer does allow you to relocate games upon import, I believe, as well. I would be wary of adding this functionality for Windows games, though.