The executable itself is updated ~each month and database updates are pushed almost every days. That's why you don't need to download it again and again anymore.
About the "C:\AdwCleaner" folder. AdwCleaner needs to write some files such as Quarantine, settings, .. And we had some issues in the past with "C:\ProgramXXX".
AdwCleaner aims to be used by both end users and technicians. That's why we keep it as a portable executable. Knowing that, there are two major use cases:
End users can keep the executable where they wants it. They'll only have to update it from time to time ;
Technicians needs something that can be downloaded and ran quickly.
Finally, you can always uninstall it easily by clicking on File > Uninstall. This will remove the "C:\AdwCleaner" folder.