Specifying SQLyog's Data Folder
This is optional and intended for special use cases - and if not specified files will be stored in users 'user profile'.
SQLyog supports a -dir parameter. The -dir parameter tells where SQLyog will look for and create files that are not read-only. This option can be used to specify the path where SQLyog will create these files. You simply need to specify the filepath (addressed absolutely or relatively to the SQLyog executable) after the -dir parameter. Like-
SQLyog -dir "path"
To specify the path where SQLyog writable files are stored.
In the particular case where you run SQLyog from a removable drive you will probably not be able to to know in advance the drive-letter of the removable drive. So here you should use relative file paths. If there is \SQLyog folder on the removeble drive and a \SQLyog\Files folder where the files should be, the command to start SQLyog would be simply-
SQLyog -dir "Files" (using relative addressing and assumed that you already cd'ed to the installation folder)
If you don't want to use command syntax but start SQLyog from a program icon then after normal installation (using the installer) you may copy and right-click a program icon/shortcut (on desktop or in start menu) and edit the command from the 'properties' menu.
The -dir switch can also be used if you want to save all SQLyog-related files to an encrypted driver or folder - or if you for any reason want another file position than the default.