Avoid virus warning in exe archives. guide
This is simple to do ;)
Just right click the exe archive and click open with WinRAR then use WinRAR to extract your file.
Normally what happens is that alot of Virus checking software mistakenly see's the self extracting archive as a Trojan, but because WinRAR doesn't need to use any of the script used in the exe it will extract with-out it being seen as a virus thus letting you extract the contents of the archive without any virus software stopping it.
If you can't even download the self extracting archives because your anti-virus software removes the file even before you try to open it, then disable real-time scanning while downloading/extracting it, after you can re-enable and even scan the extracted file to double check things are ok.
Thanks to GODJonez for helping me add to this guide.