The nightly builds are provided just as a bunch of files compressed in 7-zip. You decompress them wherever you want and it (Code::Blocks) will work from there (of course, you need the wxWidgets' DLLs and Code::Blocks' binaries).
Now, to install a compiler you'll surely use an installer, even though MinGW can be installed in a similar way (using compressed files), but it's another story.
So... true, no setup.exe for the nightly builds... no need for one either.