\stepmania\program\stepmania.exe
*right click*
send to > desktop (Create shortcut)
copy entire stepmania folder to another directory, repeat step 1-3 and wala you did you 2nd install
All I do to do this with SM 3.9/3.95 both is install the program on my comp and then move the entire Stepmania folder in the system's program files directory onto a portable harddrive.
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