If you just want to have the JDK (JRE) files, you can run the installer within sandboxie. Once installed in the sandbox, just copy the files from c:\sandbox and you are done.
I'm using this to compile and run legacy java applications which cannot be migrated easily to a newer version of java. I can point Eclispe to this JDKs and tell it to be compliant to Java 1.3.
