You can only run "portable" applications from a pen drive, that is to say, applications which don't have to be installed as such. They are therefore limited to small apps or utility programs, rather than large, powerful applications.
You can't "move" an installed application to a pen drive and expect it to work, it won't.
There's a selection here:
http://www.techsupportalert.com/best-free-portable-programs.htm
Google Search will doubtless find other similar pages for you, I found the one above in two seconds flat.