For the configuration of integrated external apps, there is the environment variable %WINSCP_PATH%
So if you want to use, like me, PlainEdit as an extenal editor, place the entire PlainEdit directory within the WinSCP directory, then edit the path to the external editor as follows:
%WINSCP_PATH%\PlainEdit\PlainEdit.exe !.!
Similarly for portaputty. It then all lives on the USB-stick only!

I don't see why people want to use portable wrapper versions (portableapps.com) of software which is natively portable. Unnecessary wrapper if you ask me.

Alternative: WinSCP *Portable* is available from portableapps.com.

another way is:
as mentioned
"Download the "Standalone application" single EXE file to a folder of your choice. Rename the file from winscp4xx.exe to winscp.exe (less version dependent)."
Create a winscp.ini in the same folder copy and paste the following in that file

[Configuration\Interface]
RandomSeedFile=.\winscp.rnd
DDTemporaryDirectory=.\

that's it!

To change the language go to http://winscp.net/eng/translations.php
download the zip file of your language (e.g. German) extract that file to the same folder of winscp.exe and make sure the language file has the same name like winscp.exe. For the German file with the ending .de it must be winscp.de.
You can also integrate portaPuTTY (not the same like portable PuTTY from John but better) into WinSCP and what you become is a System Administrators best friend.

If anybody doesn't feel like going through the whole configuration process, WinSCPP is a pre-configured bundle of WinSCP + portaPuTTY + Notepad2: http://www.portablefreeware.com/forums/viewtopic.php?t=2002

you can remove the settings registry/file by going to stored sessions > tools > cleanup