Following the instructions in https://wiki.gnupg.org/Gpg4win/PortableVersion I did this:
Install Gpg4win regularly on a different PC (necessary to be able to create a portable version it seems), then perform the steps from the instructions.
On that PC it seemed to work...
Next I transferred the portable installation to another PC that is rather locked down ("deep-inspecting" software that reads key strokes in web browsers and data sent over the network (it's called "security" here)). Starting Kleopatra from the bin subdirectory I got a message that the home directory could not be found. Unfortunately I'm not allowed to set persistent environment variables on the PC.
So I set GNUPGHOME to the Home subdirectory in the portable installation directory in side a "DOS Box". When running Kleopatra next, I just get an empty Window.
However clocking with the mouse inside it seems the elements are there, just not displayed, because I get popups and other prompt.
Also "seup" and "about" seems to work.
That makes me wonder: Are the instructions somewhat incomplete?