When downloading KeePass, you have the choice between 3 different packages:
KeePass-X.XXx.zip: The binary ZIP package.
KeePass-X.XXx-Setup.exe: A Windows installer package.
KeePass-X.XXx-Src.zip: The full source code.
KeePass does not need to be installed. Just download the binary ZIP package, unpack
it with your favorite packer and KeePass is ready to be used. Copy it to
a location of your choice (for example onto your portable USB stick), no
additional configuration or installation is needed.
The KeePass development team also provides you an installer, which automates
creating links in the startmenu etc. Apart from those integration options, there's
nothing different from the binary ZIP package.
In contrast to many other applications, KeePass does not use any functions that require
the latest Windows operating system, such like theming on XP or like a .NET application that
requires the .NET framework.
The source code package contains everything you need to compile KeePass. It includes
all C++ source code and header files, resource files, source files of the documentation,
all the latest language/translation files, sources for building the installer, etc.
KeePass doesn't store anything on your system. The program doesn't create any new
registry keys and it doesn't create any initialization files (ini) in your Windows directory.
Deleting the KeePass directory (in case you downloaded the binary zip package) or using the
uninstaller (in case you downloaded the installer package) leaves no trace of KeePass on your
system.
When using the portable version, make sure that KeePass has write access to
its application directory. Otherwise, if it doesn't have, it'll attempt
to store the configuration options (nothing security-relevant though) into the
application configuration directory of the currently logged on user.
For more about that, see this page:
Option Saving.