Use the Wait For button in the Self-Extractor Settings dialog to open the Wait For dialog. This button is enabled only when unpacking to a temporary directory (Extract to is set to $(Temp)) and Remove extracted files is checked.
The Self-Extractor can unpack files to a temporary folder. Then it can start the application specified in the Self-Extractor Settings dialog in the field Execute command or open document. When the started application finishes, the Self-Extractor can remove the temporary files and exit.
In some rare cases (for example, some versions of InstallShield), the started application (let's call it App1) starts another application (App2) and exits while App2 is still running. In the normal case, the Self-Extractor detects that App1 has finished and, because it does not know anything about App2, it removes the temporary files and exits. To prevent this problem, you can specify the application for which the Self-Extractor should wait. You can do this by specifying the filename of the App2 executable in the Wait For dialog.