Is it possible to keep several files and programs on windows OS after re-installing it? because of someone can steal the device that uses windows OS, then just removes the windows and install another one (cracked or even bought). So you just lose your device and all of the security applications! I think it is really secure-less and there is several methods that may security applications uses it for the times like this. So, Is it really possible to have and keep several applications on the windows even after re-installation?
Although windows can be installed on top of another copy, this is not required to break into it. A simple password removal tool, like "Offline NT Password and Registry editor" will do the job.
I'm not sure I understand what you mean by "security applications". Lojack for laptops? That can reinstall itself even if you format, on supported laptop models.
Your observation is correct, there are several ways someone can access your files if they are in possession of your machine, even if they do not know your Windows login password.
If you are worried about the integrity of your data in the event of a theft then consider deploying full disk encryption. This will require you to input an extra password when you boot your computer but as long as you keep your password safe, your data will be safe too.
This will be true if someone installs a new version of Windows over the top, they cannot access any of the old files.
There are several disk encryption suites available. One I have personal experience with and can recommend is Truecrypt. It is free and open source.