Can I download a program to an external HD?

I have a WD 1TB external (portable) HD, it is fully formatted NTFS for Windows, USB 2.0 - basically plug & play. I have downloaded Realplayer to this HD and it works just fine as long as it is attached to my desktop. When I plug the external into another computer however, it says Realplayer isn't installed. What am I doing wrong? I figured since the computer sees it as a workable hard disk drive I could put program files on it. Do I need to install an OS? If I change the "sharing" properties to allow sharing will this help?