Some programs can be copied to a new location, some can not. The reason they do not work when copied can be varied. Most commonly, it is a registry issue. The installer creates entries in the registry which specifies the location of certain files, folders, drives, etc. Moving the installation will not modify the registry. The same goes for application created configuration files.
You can often modify the registry and configuration files after the fact. Sometimes this is an easy task. Sometimes, it can be difficult if the developer doesnt make it obvious where all the files/entries are and how to modify them.