It need not be in CAB format. If u have Winzip installed with shell extensions enabled, just right click the setup file and see if under the Winzip menu, whether Extract to or Extract to here....options appear. If it does, then u can extract it like a normal zip file.
If instead, if Add to Zip appears, then it is not possible to extract them.
Sometimes, Winrar can do the job do!
Hope this helps you.