Getting the files out of an installation file is fairly easy if you have the right tools. A lot of people already have a tool to extract files from an exe: WinZip. If you aren't a fan of WinZip, try 7Zip can do it too, and it's free. They only affects installation of Universal Extractor. General purpose stream and transform extractor for Windows Installer files; used to extract files from.
Every once in a while I need to extract the content of a .msi file in order to customize a deployment for a particular network environment. Sometimes initializing the .msi installer will temporarily extract the files into C:Documents and Settings<username>Local SettingsTemp, but those files are removed once the installer exits.
To extract files from a .msi file at the command line, type:
msiexec /a PathToMSIFile /qb TARGETDIR=DirectoryToExtractTo
For example, to extract files from f:zenworkszfdagent.msi into c:zfd701 you would type:
msiexec /a f:zenworkszfdagent.msi /qb TARGETDIR=c:zfd701
The destination directory does not need to exist prior to running this command.
[update 05-20-2009]
I have a new favorite MSI extraction tool called LessMSIerables. Check it out!