What do you mean by installing the real player on a USB stick? Do you mean you want to run it from there??? I don't think this will work as some files will be needed that must be installed in the windows or windows/system directory.
The real player is not a stand alone .exe file that you can run anywhere, so I don't think this will work.
If you mean that you want to just copy the original source of the real player to another computer and then install it there from the USB, this is fine and will work ok, but the real player will be installed on the other PC, and will run from their not from your USB stick.