[gh0sth@cker]

Yes in some cases the setup.exe can also be protected - this is only the case in some games. I know the Westwood series of C&C used to do it all the time. There are a few other games that implement this too, but as I said, there aren't that many.
You could always have a look around for a cracked setup.exe for these games - although these can be hard to track down.