Installers were typically batch files (the DOS equivalent of shell scripts), which was really cool: You could see exactly what they were doing [1], and you could improve your command-line-fu by seeing the techniques people used [2].
[1] Usually it was just copying the application files from directory to directory. Nowadays installers generally muck with the Registry, C:\Progra~1 [3], C:\Users\Applic~1 [3], the Desktop (who knows where that is), the Start Menu, and the Windows equivalent of /etc/init.d (I remember there are several of them, and your system will get slower...and...slow...er...if you don't clean them out regularly)
[2] Like environment variables or @ECHO OFF.
[3] Spaces in filenames need to die. Whenever possible I use the 8-character names Windows generates for backwards compatibility with DOS.