You may always use NSIS, INNO installer, Wise and other installer. At the time I needed to unpack the content of those installer without having install the application first.
Idnaf.SetupUnpacker is an open source installer unpacker which supports:
Microsoft SFX installer
It also support .exe file detection trough PeID. It also support decompression trough 7zip (wrapped).
This application was completely written in C# (Visual Studio 2005) and you will need .NET framework 2.0 to run the application.
System requirement : Windows with .NET framework 2.0 installed
In the following link I uploaded also the source code + binary.