Like others mention, you can use virtualization like Virtualbox to keep your specimens quarantined inside.
Problem is, it's kind of like building an isolation ward in your kid's room: it's safe and there's no chance of escape (or at least abysmal), but on the other hand it's hard to install/maintain another system (virtual or not) and your computer may occasionally whine about resource usage if you don't have 12GB of RAM in your system.
The other option is sandboxing. If virtualization is an isolation ward, then sandboxing is a playroom.
It's far easier to set up and maintain (and less mentally disturbing :-) and also has less resource usage (it's just another room), won't whine about resource usage, and lets you have the same comforts of your regular system.
Solutions like Sandboxie (shareware, $40) and Acronis True Image's "Try&Decide" feature (commercial, $30) or even the almost-dead Steadystate (free) under a Guest account (well, if you were running XP or Vista still) are all valid sandboxers.
The third option is to just send it to a virus analyzer like VirusTotal or Jotti. If your file is less than 20MB, they will open up the archive (IIRC MSI, ZIP, TGZ, and a few others) and then scan the thing using over 9000 virus scanning engines and report back with the results.
You mentioned self-extracting archives. Something like Universal Extractor might help you by extracting the files from the archive without running the installer itself. Then you can run your normal antivirus or use VirusTotal for the individual files in the archive.