In the last months, a lot of new updates arrived from the Arduino front. The latest installment of the Arduino IDE is now 1.6.4 and got some really nice additions, i.e. an Board Manager to install board definitions from the net via one click, the Library Manager, line numbers and much more. However, given the nature of the Board Manager, it always installed the files somewhere on the Computer, i.e. the AppData folder - which not really made the Arduino IDE portable. However, with 1.6.3, this was fixed.

Preparation
1.) Download the latest Arduino IDE (1.6.4 here) from http://www.arduino.cc/en/pmwiki.php?n=Main/Software
We took the "Windows ZIP file for non admin install" Version.
2.) Unpack the Arduino IDE somewhere
3.) In the Main Arduino IDE Folder, create an Folder named portable

Installation of Board Support Packages
4.) Start Arduino IDE
5.) Go to File -> Presettings
6.) In the Line "Additional Boards Manager URLs" you can enter as many URLs as you want, seperated by comma.
You can find a list of the URLs at https://github.com/arduino/Arduino/wiki/Unofficial-list-of-3rd-party-boards-support-urls
Click Ok if you're done
(i.e. enter http://arduino.esp8266.com/package_esp8266com_index.json for the ESP8266 Package)
7.) Go to Tools -> Board -> Boards Manager
Arduino will refresh its boards list from the URLs you entered. You can now click on every entry you want and install it with a click on install.
You can also uninstall and change versions using that menu.

Installation of Libraries
8.) Go to Sketch -> Include Library
Here you can a) Install a Library with the Library Manager in the same way as the Boards Manager, b) Install a Library from a ZIP File
Just install the libraries you need and close the window.
i.e. MQTT