Sounds like you're not an administrator on your computer, try running the installer as administrator or installing it to a folder that your user account owns, meaning your desktop or some other folder inside users/(your user name)/

I am assuming you are using Windows 7 since I've heard this happening in the past. The User Account Control thing added in Vista copies certain files from the program files directory to a 'Virtual Store' which causes problems when deleting mods since they are still technically there, sort of. The folder is in C:\Users\username\AppData\Local\VirtualStore\ it should be in either the Program Files or Program Files (x86) depended on 32 or 64 bit. You can simply delete the folder from there and it should work. In order to fix the problem permanently, you will need to be an administrator and take ownership of the folder it is installed to. You can find out how here, then set permissions for the folder to full access and it should stop using the Virtual Store. Of course if you haven't installed to program files or aren't using Windows 7 then this information won't help at all.

If you want to know, Virtual Store is meant to prevent malicious edits to programs but in cases such as Cortex Command can cause things to stop working. Other programs like Microsoft Access also don't work which I find funny since Microsoft broke their own applications.