That's because the programs created by pp are just archives (think .ZIP) with an executable header that unpacks them the first time they are executed into a temporal directory and then invoke the main script from there.

In my opinion there should be better ways to do that, as for instance, building a .MSI file able to install the script, the modules and all the support files in some directory under c:\Program files (or equivalent) as any other regular application.

But somebody has to actually build that tool :-(