You can also just use an installer extraction tools to extract the files from the installer files (older versions ship with a bunch of CAB files and an installer binary, while newer versions ship with the CAB files bundled into the binary.)
Another option is to install in Wine and then copy the files.
These are the same methods that can be used on Linux.
Of course you can always use dual-boot (bootcamp on Mac) or a VM (VirtualPC, VMWare, VirtualBox or QEMU. Note that I don't recommend using QEMU without a config GUI unless you are an Uber computer genius. Most IT technicians create the profile on a Workstation GUI, and test it before deploying it to servers, and these are people who eat, drink and breath command prompt.)