You will first of all need a small tool named Orca which BTW is an official Microsoft tool for modifying and validating .msi installers. Microsoft delivers the tool that one needs to avoid the WGA check (Orca) as part of the Microsoft Windows Server® 2003 R2 Platform SDK Web Install.
It can be downloaded with the full package or also as a standalone from here or here.
Once you install Orca, run the software and open the installer from within Orca. Select InstallExecuteSequence from the left pane and right-click Check WGA and choose to drop it from the menu. Save the file, close Orca and wow!! run the installer without a single WGA check.This method doesnot work for other kind of Microsoft installers other than .msi. The new IE 7 for instance does not come with an msi installer but as an exe.