Getting MPS to work under Linux out of the box (given your java is installed properly) is really trivial: you just untar the MPS archive that you download from the JetBrains website and it's installed.
However, in Windows it's different (out of the box): you can only download a .exe file which tries to install things in Program Files, and if you are in a work environment where it's not easy to get elevated (admin) rights (i.e. root access), it's quite difficult to install and run MPS.
Is it possible to just have an MPS.zip file, just like the MPS.tar file for Linux? In this way, one could have a completely portable MPS which is easily usable in company environments where root access rights are restricted.