You are trying to move the program or a project?

You cannot move the program that way because the program is installed in many different folders so it can use the different components of Windows, plus... it cannot be copied as that goes against the copyright protection.

If this is a project, what I suggest is open it in the PhotoStory and then save it again to the thumb drive, since the thumb drive will have a drive letter you could save directly to it from the program.

If you mean the program itself, well you will have to install it on the other computer; you cannot just transfer to a thumb drive.