Many programs send 'roots' into the OS, providing increased functionality for the program. Installation is what creates this functionality by changing the registry.
Other programs are designed to be portable or lightweight, and therefore avoid using the registry.
So the difference can be looked at as the difference between a tree planted in the ground, and a tree in a pot. The tree in the ground will grow large and strong, but can't be moved easily.
The tree in a pot will never get very large or do much, but it can be moved around wherever it needs to go.