Its called the 'Standalone executable' but its not working properly. Just tested the latest version 2.5 which was released a couple of hours ago and the standalone still forces the files onto the main drive of the PC so it cannot function as a true standalone.
Last proper version which works as it should in standalone mode is version 2.3.2 which can be downloaded from here:
https://download.electrum.org/Just scroll almost all the way down and look for 'electrum-2.3.2-portable.exe'. This version can be placed on a USB drive and run from there. It will also create all folders and files in the same location so its 'truly' portable.
Why portable version development is frozen on 2.3.2?
The whole aim of a portable or standalone version is to be able to place the file on a USB drive and to be able to run it from a USB drive. In order to do that it means that all the data files need to be on the USB drive as well. A portable version will be pretty pointless if it required files which were not on the USB drive.
So this means you need all the Electrum files compacted into a single exe file i.e. the portable version. This version then needs to be able to work with data files residing in the same location i.e. on the USb drive. This means you can unplug your USB and take it to another PC and still be able to run Electrum from there as if you were on your own pc.
Up to version 2.3.2 this was the case. A single exe file which when fired up looked for the data files in the same location as where the exe file is and if there is none to create them. So all folders and files are created right there on the USB drive. So everything is on the USB drive.
Versions later than 2.3.2 does not work like this. They are all single exe files but they create all their files in the AppsData folder on your C drive when running Windows. That means you have the exe file on the USb but all your data files on the C drive which is pointless as it's anything but portable.
I have a Trezor and all my wallets are on there. I use Electrum together with the Trezor so all my Trezor wallets are also on Electrum as watch only wallets. So its easy for me to plug my USB drive and Trezor into any pc and to be able to do transactions. Does not matter whether the pc is compromised or not.
I'm however stuck on version 2.3.2 as that was the last portable version which was truly portable BUT ALSO the last version which had proper support for Trezor. This last release, version 2.5, also has no Trezor support. At this rate Trezor should remove Electrum as a compatible wallet as the last three or four versions has not been compatible.
I'm in the process of looking for alternatives but think I might just go with MyCelium on my phone and leave it at that. Electrum is starting to fall to far behind now, at least the versions that work for me.
EDIT: What's funny is if you look at Electrum-LTC, the LiteCoin version. Latest version is 2.4.3.1 and everythign works. Full Trezor support in all versions and a proper standalone version that works as it should. Electrum-LTC is supposed to be based on Electrum-BTC but it seems like the LTC version is actually the leader here as its miles ahead of the BTC version. Seems rather like the BTC version was based on the LTC version. There are several bugs still in the BTC version which has already been resolved in the LTC version which is what makes it funny. The LTC version should be the copy and not the leader.