Lots of times, the installers throw the "now you must restart" as a blanket statement, even though it's not necessary. Other times, it's because the developers are stupid and don't know how to start a newly installed service, and depend on a system reboot + automatic service startup.
Often, common sense works. You installed something simple-ish that didn't install any drivers? Don't reboot. OK, it installed a service? If the app doesn't work, try services.msc and see if you can start it's services manually.