Answer
Yes, that is possible, but you cannot use the setup file to do that. To install Tyre on a portable device, you have to install it on your computer first.
Once Tyre is installed on your computer, you can install it to a portable device from there: from the ‘Tools’ menu, select ‘Install Tyre to USB stick…’
If you have a U3 stick or if you have PortableApps.com installed on your USB stick, you can even install Tyre as a U3 application or as a PortableApps.com application.