You can extract the exe, just fyi. It's cab format embedded in the exe. Most archive managers will handle it. I just extracted it with 7zip on Windows. (Also you can use innoextract if you ever need to extract gog installers or other installers made with innosetup.)
The only other thing the setup seems to optionally install is a runtime package. Don't remember which one, but an error message should tell you if it's actually needed or not and you can install it with winetricks instead.