Please note that a software installation self-extractor unzips files into a folder it creates in the computer's Temp folder, runs the command you specify, and then, when that command completes (or, if you have specified a Wait For command, when the "Wait For" command completes), deletes all files and folders from the Temp folder. This is done without regard to any further processing you may have planned for the extracted files. You have no control over the directory in to which files are extracted; the files that are extracted are deleted when the "command to issue" (e.g., setup) or the "Wait For" command completes. Therefore, it is necessary for the setup command or Wait For command to make permanent copies of files extracted from the self-extracting Zip file, if permanent copies are needed.
If your setup program is not performing these functions, then it is possible that your setup program needs to be re-worked so that it can be called properly from WinZip Self-Extractor. Another option you have would be to create a standard self-extractor. A standard self-extractor unzips files into the folder you specify and will then run your command to issue. It does not delete the files that are unzipped.
In some cases, the file security applications on a computer and/or security policy settings may make installing an application from the Temp folder difficult or even impossible. Other options, such as making use of a standard self-extractor, would need to be considered for situations of this sort.