Why does 7zip Ignore the InstallPath when making a SFX installer

The problem is that the SFX deletes extracted files after setup.exe finishes. To avoid this you may use the InstallPath parameter:

;!@Install@!UTF-8!
Title="MyApp Installer"
ExecuteFile="setup.exe"
InstallPath="%temp%\\My App"
;!@InstallEnd@!

But in this case extracted files will not be deleted at all. You could remove these files in your MSI, for example.

PS. If your customers will run the installer through a Remote Desktop Session you have also consider this issue

I fixed this problem with mpursuit answer.

To update manifest of 7zS.sfx you can use the following procedure:

manifest.xml

   <?xml version="1.0" encoding="utf-8"?>
    <assembly xmlns="urn:schemas-microsoft-com:asm.v1" manifestVersion="1.0" xmlns:asmv3="urn:schemas-microsoft-com:asm.v3">

      <compatibility xmlns="urn:schemas-microsoft-com:compatibility.v1">
        <application>
          <!--application support for Windows Vista -->
          <supportedOS Id="{e2011457-1546-43c5-a5fe-008deee3d3f0}"/>
          <!--application support for Windows 7 -->
          <supportedOS Id="{35138b9a-5d96-4fbd-8e2d-a2440225f93a}"/>
        </application>
      </compatibility>

      <trustInfo xmlns="urn:schemas-microsoft-com:asm.v2">
        <security>
          <requestedPrivileges>
            <requestedExecutionLevel level="asInvoker" uiAccess="false"/>
          </requestedPrivileges>
        </security>
      </trustInfo>

    </assembly>

call "C:\Program Files (x86)\Microsoft Visual Studio 12.0\VC\vcvarsall.bat" x86
mt.exe -manifest manifest.xml -outputresource:"7zS.sfx;#1"
copy /b 7zS.sfx + build.config + archive.7z sfx_archive.exe