5 points
GoG homepage > (your name [drop down menu] when logged in) > “Games” > Click on any game in your collection > Download offline backup game installers
You can download installers for whatever systems the game supports – usually that’s just a Windows .EXE installer (+ several .bin files if the game is large). For games intended to run on Linux w/o WINE, you can select “Linux” from a drop down where it says system and it will give you an .sh file.
6 points
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If it’s an EXE and you just want extract it you can use https://github.com/dscharrer/innoextract
It supports the special GOG Inno files. And it’s a lot faster than the official installer with less temp files.