As of Java 11, the Oracle's free version of Java (Oracle OpenJDK) doesn't seem to include an installer. It is just a zip file containing the binaries.
https://github.com/ojdkbuild/ojdkbuild
https://github.com/AdoptOpenJDK
https://github.com/AdoptOpenJDK/openjdk-installer
https://github.com/AdoptOpenJDK/openjdk-installer/tree/master/wix
Download Zulu Builds of OpenJDK for Windows Builds of OpenJDK for Windows