My server (GaliciaMS) had a setup file, but it was not a regular setup.
Mine was the edited .exe, a batch file, and the shortcuts, all compressed into a self-extracting zip archive. When it was downloaded and run, it would extract itself to a temporary folder and run the batch file. The batch file would check where GMS was installed and copy the edited client into the folder. Then it would copy one of 3 shortcuts out to out to your desktop. And finally, it would clean itself up, and only the the batch file in the TEMP folder.
BTW: The batch file is 97 lines of code, including the status echos.