

The other is a modified, portable version of the Mozilla Firefox browser with several special features that help you take advantage of the anonymous browsing system provided by the tool. The first one is the control panel you use to connect to the Tor network which you will have to activate every time you want to browse anonymously. The program changes the way in which information you send over the net travels, providing you with a routing system that hides your data from your internet provider, so that the pages you visit, your credentials, and your browsing history will remain anonymous at all times. Really the easiest thing to do would be just to install linux to the USB - Ubuntu Mate is quite straightforward and lightweight - and then you can run tor in that OS.The TOR project (The Onion Group) is an altruistic initiative promoted by several experts in Computer and Internet Security that provides users with a tool to protect their identities and maintain anonymity and browse the web. You might experiment to see if any of them will work. I did a quick search and came across Chocolatey. There may be other package managers for Windows that might do the job. I'm not 100% clear on what Cygwin needs to do to integrate itself with Windows, and how dependent that is on the Windows version, but it might work.

You are also getting access to a package manager, which Windows is lacking and which will allow you to install tor and then help you keep it up-to-date. What Cygwin does is to create an overlay that allows linux to talk to Windows. First, you might install Cygwin, putting the root directory on your USB. Since it's Windows (you might have made that clearer in your question), there are two approaches I'd try. If you were using Linux or OSX, I would try using the Homebrew package manager, with its root on your USB.
