Ok, I know SML/NJ has a self-installing windows .msi.
Unfortunately, I can't install it in my office Windows machine as the strict security policy and I don't want to argue with those IT staff for giving me permissions.
So, can I install SML/NJ without the installer, maybe some zip I can get and just uncompress it for the sml.exe?
Sure. I've put up a build of SML/NJ for Windows in that form at: http://people.cs.uchicago.edu/~larsberg/smlnj.zip
To use it, unzip it to someplace like the desktop and then, in a command prompt (or globally) do: set SMLNJ_HOME=c:\Users\USERNAME\Desktop\smlnj
You should then be able to run sml.bat. Feel free to shoot me questions personally if you run into anything; I am the maintainer of the Windows version of SML/NJ.