If an app is written to use common dll's, these are usually kept in some Windows system directory. If the app needs to create temp directories for whatever reason then this info is stored in the registry. Windows needs to know where everything is in order for the app to run. If an app does not require the use of common dll's and/or includes all of the required files within it's on program, then technically Windows doesn't need to know anything about the program. Double-click the exe file and it runs.

Check out http://portableapps.com/ for numerous apps that will run standalone.