The free software PStart is using relative paths instead of absolute ones which means that it can execute any applications on the device even if the driver letter changes. You can basically create a start menu for your portable applications using PStart that lists applications, sorted in groups like Internet, Games if you like, folders and other files such as documents.

All of this elements can be added by either creating a menu manually or scanning an folder or device for applications. Other features such as a search function and the ability to take notes are also included in the release. It should be noted that you can add all files, applications and folders to the menu which is an excellent way to handle CDs and DVDs as well.

I personally think that PStart is a useful application if you work regularly with removable devices. It does not make that much sense if you use them only occasionally.

Take a look, everything is linked to its own wikipedia site and / or the developers website.