Virtual Merlin is a simulation of the hand held electronic game from Parker Brothers that came out back in 1978. I actually had one of these when I was a kid. It plays Tic Tac Toe, Black Jack, Magic Square in addition to some other games.
After installing Virtual Merlin and unzipping the updated files from the two ZIP files, just copy the program folder over to your USB key drive.
As there is nothing to configure it doesn't save its settings anywhere. It's only 864KB installed.