I bought the Unreal Anthology too and was pretty annoyed that there was no native installer. In the end I had to do something of a hack to get UT2004 to work. There were instructions online.

I also bought Return To Castle Wolfenstein. The "Game Of The Year" edition, which also required some hackery compared to the normal edition.

I don't play either anymore - I believe Unreal Tournament 2004 works well in Wine with one registry key change, but I think RTCW is a write-off these days.