It can be pretty much "guesswork" to identify an installation file, once it's been surrounded by all the other stuff in a program; but usually if you put a .exe on your disk and double click it, it will just "fail" if it's a run file that needs an installation. While "random clicking" on .exe's that you're not sure of is not a generally recommended thing to do, it's unlikely to do any damage, if it came from a known program.
I try to follow the principle of never installing anything before I've archived the original installation file - but we all know about "good intentions," and all that stuff.