There is no general answer for this because different installers/applications use different storage methods. You should first try to identify the author of the installer software by looking for clues in the version information and maybe with a hex editor.
My first suggestion is to try 7-zip, it can extract from NSIS based installers and some MSI based installers.
If the setup was created with Inno Setup then you can try this.
If all else fails, try Universal Extractor but even that will fail for obscure and custom .exe files.
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