yap: You can download your game wrapped in a Windows .exe with no way to extract.
Actually, there -is- a way to extract it. You can find an installer-extractor for Inno Setup at the following website:
http://sourceforge.net/projects/innounp/
Guess what operating system it runs on though. It -can- be used to get around the requirement to install the game, and might be useful to keep from cluttering up your registry, but you still need Windows.
On the other hand, if you know any Pascal, you might be able to compile it for Linux yourself.