[frankiesimon]

Hi spectat0r, thank you for your suggestion. You led me to the right solution.

What I eventually did:
RunProgram="hidcon:\"MyDir\\run.bat\""

and in run.bat:
start /w /d "MyDir" MyProg.exe
exit

When I tried your suggestion of cmd.exe /c (closing the console immediately) then not all of the files in my archive were extracted! To confirm - as soon as I got the message box error about the missing .dlls I went to the Temp folder and saw what is in the archive. If I did /c then some of my .dlls are not there. I then tried cmd /k - and all files were there.

I don't know why this happens - but looks like the .bat file option (running in a hidden window, opening a new window for the program I actually want to see) works ok for me.