You can prevent an uninstall entry from showing in the Add/Remove programs list.
But that doesn't have much at all to do with what Windows Installer does to manage installed packages. A Windows Installer package is not a very good mechanism for delivering self-extracting, self-executing archives. There are several products made for this specifically (e.g., WinZip, WinRAR, the old Package-for-the-Web) or various non-intrusive (unmanaged) installers (e.g., NSIS, Visual Studio Bootstrapper Installer) that would give you better control over the state the system is left in.
Key point: After a successful install, Windows Installer will store loads of data about the installation on the system and manage it until it is uninstalled.