Do not install to C:\Program Files. Install to C:\Games\GTA San Andreas Portable or directly to your D:\ USB drive. This keeps it portable.
Since you cannot safely download a pre-made setup.exe portable, the safest method is to make your own using the official version. gta san andreas pc full setupexe portable
Cause: Missing or corrupted Visual C++ runtimes or DirectX. Fix: Install the latest DirectX End-User Runtime and Visual C++ Redistributable All-in-One. Do not install to C:\Program Files