Depends on what you're trying to install (as well as some other things, such as the operating system you're using).
In some cases, it is possible to simply copy the relevant files to the directory containing the executable that you want to run. I've done this many times with software I've written that interfaces with the NXT. As long as fantom.dll is in the directory containing the executable, nothing needs "installing" onto the machine.
If you could provide some more details on what you're trying to do, we may be able to help.