self extracting executable problem

[Guest]

I have a link on my web page for a self extracting executable file placed on
the server. When the link is clicked,
1) i could see dialog box with open or save options
2) when open clicked, self extracting exe starts.

But...the self extracting exe when downloaded on my mahcine, creates a wierd
named folder in c:\.
how would this folder getting cretaed? Can i make to create this folder in
temp files.

Any help in this regard will be appreciated.

Thanks,