A general purpose automatic installer might be a good idea. Rox filer supports Rox Apps. A Rox App is a folder with all the files it needs inside, including help files, an icon, and an executable that runs when you click it. A rox app looks like a single executable file, and you can click the icon to run it.
If a rox app was tar.gzipped, and renamed with a different extension, say dot pup, a person could click the file to download it, and click it for rox filer to run a script on it. The script could automatically unzip it, and automatically run it, maybe first asking if you want to run it.
For example, you could make an Icewm installer in a rox app folder. It looks like a single executable file in rox. You could tar.gzip it, making a file called icewm-installer.tar.gz. You could rename the file icewm-installer.pup and upload it. All a person would need to do to install icewm, would be to click the file to download it (or run it from the internet). Clicking the icewm-installer.pup file in rox would automatically unzip it (it could ask first) and automatically run the unzipped rox app (it could ask first). Of course, the program could download other files, for example, download and automatically install Java or Thunderbird, or the latest usr_cram.fs.

Not sure if that is possible or easy
Perhaps if you did an example for Java

Actually, it is possible and easy, in fact trivial
When you click a text file in Rox, it opens it in leafpad
When you click an html file in Rox, it opens it in Firefox (or whatever you have set)
You can easily setup Rox so when you click a DOT pup file, like install-java.pup it will automatically run the dot-pup script.
All the dot-pup script has to do is unzip the dot-pup file (it should ask first) then automatically run whatever was unzipped (it should ask first)
So all you have to do is click install-java.pup ... it automatically unzips itself and runs
Firefox could be setup so if you click a dot-pup file, it will automatically download it and run it the same way an rm file will automatically run in gxine.
A dot-pup file could be very small and just download and run the latest version of the installer, sort of a stub or wrapper.

Like in Windows, with rox you can set the "run-action" per file type, e.g. tcc -run %1 for a .c file.
Apparently the wizard script ftp's a file.pup to /tmp where a click within rox can start it's run-action (or what is the point here ?)