Hi,

In theory you cannot. But there can be a couple of worksaround .

Use two programs, the first is your "real" program. just before it close it
excute the second program (non-windows) and the latter is the one that
delete the first one. Of course now you have to delete this second one :)
You can for example have this second program in a temp folder and just let
it there.

I'm sure there are other possible solutions though.