Each program in Windows does not live with all its needs in its own folder though. Some store some of their stuff in the installation directory, others in AppData, others in ProgramData, others in the User's home folder (C:/<username/...) and so on.
Tbf, you can do the same thing on Linux with AppImages.
There are very very few cases today where your program and it's accompanying files are so large that they cannot be expected to live on only a single disk.