I usually like running some software as portable. It allows me to easily use the same configurations across various computers.
One of the software that I use is a bash shell from called msys. I have attached the zip file which can be downloaded at the and of the post.
Note: It only contains the core shell and no other stuffs such as the binutils and C/C++ compilers.
msysCORE-1.0.11-20080826_portable.zip (2.88 mb)