This is because they are self extracting archives and they extract to a temporary folder when they're run. The big ones that are a GB or more, have a lot of data to decompress and this is like extracting a large zip archive. The main difference is that it actually hangs Explorer windows while it does this and there is no progress bar which is annoying. The best thing to do is to run it and leave it for a few mins to extract itself. Even though the window hangs, it hasn't stopped responding and is just busy. Eventually it will free itself and the installation will start. It just may need to be left for a few mins.