Actually, it is possible to run a local web server from a portable media, even write-protected media like CD and DVD.
There are several alternatives, both free and commercial, but you have to check if the specifications are compatible with Joomla.
- Server2Go (free)
- DWebPro (free for non-commercial use). Tutorials for several common web applications can be found here.
- Stunnix Advanced Web server (commercial).
- XAMPP lite - probably won't work on read-only devices like CD and DVD, but a tutorial can be found here.
As for user-friendliness of such an application, I'm not entirely convinced. Why not create an .exe-file that opens the browser with your live site, or wrap it in an iframe inside your software, as @Lodder suggested? It would probably be easier to use and to update, unless you need to use this somewhere without an internet connection.