Actually, once you click on the .exe, a CAB file is automatically created. I can't remember exactly where it is stored (I just reformatted but I believe it's in one of the ActiveSync folders) but if it is in Documents and Settings, you can retrieve it from there. If it is in Program Files, then I guess that wouldn't work for you.
There is also another way of creating CAB files from zip files. I recall reading about it here in the forums. If I find it, I'll let you know. You might want to try a search yourself as well.
BTW, if you are not able to change the contents of your Program Files directory, how were you able to install ActiveSync?