Here's our Windows XP Tip for.. October 21, 2003
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Handling Self Extracting Files
Self-extracting compressed files are becoming more common every day. These files are easy to work with. There's only one oversight that might possibly cause you a problem--the file's location.

Before you run a self-extracting .exe file, move it to an empty folder. If you don't, the files that extract will get jumbled up with the files already there. Also, if there are files of a same name in a folder (such as Setup), you may inadvertently overwrite a file that you don't want to lose.