For some time now I have wanted to try OpenMW, the open-source Morrowind engine recreation, but I was lacking the required game resources.
I wanted to get them from gog, as I like their DRM-free, download and play, approach better than steam.
When Morrowind GOTY was on sale recently, I finally bought and downloaded it.
I thought I could simply unzip/cabextract the game files from the setup.exe, but it doesn’t work like that.
7-zip unpacks the executable just fine, but the bulk data is just a ~1.3 GB  file which file designates as data.
From the other extracted files it appears to be a innosetup installer and issuing apt-cache search inno (searching for innosetup does not work) turns up innoextract, which does exactly what it says on the tin.
So after running innoextract -e /path/to/setup_tes_morrowind_goty_18.104.22.168.exe you get all the required game data.
Just point openmw at the extracted Morrowind.esm and you are good to go.
FYI: OpenMW will remember the path to the data, so you might put it somewhere where it can stay.