Newbie question regarding compressed EXEs and anti-virus progs

["messie_x" <messie_x@...>]

Please forgive me if this is not the right place to bring this 
question up but I don't know a better one. I'm not a hacker, not even 
a developer (although I used to be one years ago), just an ordinary 
user today.

I raised this question in a couple of security-related web forums 
before but haven't received any response that helped so far.

While testing a couple of anti-virus programs, I realized that nearly 
all of them are not able to scan compressed executables (Kaspersky is 
the exception but has some other drawbacks).

My first idea was to search for a tool, that finds all compressed 
executables and then uncompresses them so that a regular av scan will 
work. After some web research, I realized that this approach seems to 
be quite unrealistic as there are so many compressors which are just 
developed with the main intention to prevent others from getting a 
regular (unpacked) executable which they then can reverse engineer.

But is should be possible to develop a program that
a) runs a compressed executable to the point where the contained 
program is fully uncompressed in memory,
b) stops at that point, 
c) calls an av on-demand scanner to scan the memory of the now 
uncompressed program,
d) terminates without actually running the compressed executable

The question now is wether such a nice tool already exists, or 
something similar which could be adapted easily. 

I'd also appreciate links to a scanner that generates a list of all 
compressed executables in a given directory and its subdirectories.

The last question is off-topic but I'd also like to scan the contents 
of Microsoft Installer files (*.msi) for viruses. How to unpack?

Thank you.

Messie