What Xplosys is probably true. There are also some extra suggestions I'd like to add. When you run a game from a USB stick, you are loading the game through that USB bus. Now, depending upon what USB speed the computer has, performance issues will differ greatly. STILL, what you are essentially doing here is running your program through an unnecessary bottleneck.
Move the files to somewhere on the PC to take the USB bus out of the equation. Everything should just go straight through the CPU and RAM.
PC Specs: AMD X4 2.7Ghz, 8GB DDR3 RAM, Nvidia 9800GT, Win. 7 Pro 64 Bit