This is a very sensible remark in the general situation.
I tend to use only portable applications. Thus, nearly *all * my applications can be stored on a
movable usb stick. In such a situation, a firewall would ideally be just another portable
application (same remark for an antivirus) and its rules would be defined upon the portable
applications located on the usb stick and not machine-dependant.
The major problem with firewalls, as the reply to your OP mentioned is
that for them to be effective, they generally need to be a system level
driver/service. I have never come across one on a modern OS (2K/XP)
that doesn't require some kind of driver install and possible reboot.
It would be very hard to make this portable - maybe possible to install
the service running from the USB stick and remove it after use to
prevent problems for other users of the system but hardly fitting what
seems to be the general definition of portable used by most people.
One alternative would be perhaps to take a small embedded OS with you on
the stick - for example, Damn Small Linux can run in Windows using a
QEMU. This would give you a firewalled and secure/clean web
browser/email combination etc install inside Windows, even if the
Windows install you find yourself using is attacked.
Neither this method nor a firewall would protect you from keyloggers,
which I consider to be more of a problem for users of untrusted machines
- it's all very well bringing your own trusted software, but if every
keystroke you make is logged on that machine for later collection, you
gain nothing by having a firewall available... I would concentrate on
finding portable security tools to ensure the machine you are about to
use is clean, rather than worrying about firewalling it for the short
time you will use it.
HTH