That's an interesting question, so I gave it a try just now.
On Windows 7 with IE 9, there were no warnings presented when downloading the zip file containing the unsigned installer executable. When the installer was extracted from the archive and run after the download completed, I got the standard Windows security warning about "The publisher could not be verified", which was far less scary that the SmartScreen warning.
So yes, it looks like that could be a viable work-around.
