OK, I found out what’s going on… actually, it’s just a wrong message (but it really took me a while).

The reason is that the exe installer is a solid RAR archive. It is not possible to delete a file from solid RARs. So, when you try to do it, avast! displays an error message. Unfortunatelly, the message is very confusing on Windows 98 (on WinXP, the error says: “This function is not supported on this system”, which is slighly better).
I think we need to put in our own error message, instead of using the Windows system one.