How to extract files from setup?

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Yo everyone,
I'd liike to know how to extract data/installation files from "setups" one sees whenever one tries to install an application. For example, when you download files from download.com, they're in packed installation file, just one single file usually name.exe, you open it, then extract, and then install though you don't see extracted files, and is there anyway to extract the files from such setup?

Some of the files are extraced to ~/Local Settings/temp, but not all of them,
 
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These are usually compressed self extracting files.
They are not all the same.

Winzip can open some of them and show the contents or sometimes say what was used to create them.
Most often you wil require the specific utility that was used to create them in order to see the contents.
 
Most programs today use something called "InstallShield." This program basically usually extracts everything to a temp folder then runs the installer. If you want to get all the files that it extracts you must get a file tracking program that records the history of every file creation/modification/run history. After you run the installshield and it asks you where you want to install the files. Minimize the window and go to your tracker and zip everything up.

And there you have it.

I don't know WHY you would want to ignore the installshield section of the installer. That would basically turn installing programs into a linux install and you don't want to know how painfull that is.

Keep the installshield