The installer is a WinRAR self-extract archive which extracts in the %temp% folder (creates a subfolder "RarSFX0" under %temp% and extracts the installer files into that folder). If you cancel the extracting process or the installation process, this temporary folder gets deleted. Same if you complete the installation process to the end.
You should not have to delete those files manually.
Please mark this reply as Solution if this answers your question, or let me know if you have any question.