delete the folder and files you say you created - then try to clear all temp files, (the files inside your "temp" folder under your username, and the files inside "temporary internet files" and also the folders and files inside the hidden "content.ie5" folder and turn the puter off - wait 30 sec and turn it on again. (you may have to let windows show hidden files and folders, depending on your configuration)
if this doesnt help try to schedule a diskscan at startup, and if this doesnt help either, you can go into regedit and search for the folder name you copied it to from the cd, and also the setup file - then delete the entries and reboot (first delete the folder of course).
...and if any of this doesnt help, you go out and buy a gun
it can be a few things like: it tries to load from a register value, or it is still located in your ram and memory or it tries to load from the temp folder etc...
you would be surprised to see what you can read from ram and memory
Who's to doom when the judge himself is dragged before the bar
First of all uninstall the AVG anti-virus software and next time you install an anti-virus software set the rules as such that it allows the installation or execution of non-windows unsigned third party software.