This appears to be an issue in the toolkit that we use to build our installers. We will apply a patch so that future installers will not have this issue.
In the meantime, you can try to delete or rename the installer file as Erwin suggested.
Edit: This issue will be solved in the upcoming 4.1 release.
had the same issue on W7. Ended up deleting the installer file.
Answer from Mendix support:
At first guess I would say the installer has somehow gotten the impression it should be run as an on start-up application in Windows. You should simply be able to remove it from the list, which should stop it from being triggered in this fashion in the future.
You can access this list by hitting your Start button and typing 'System Configuration' before hitting Enter. This should open a window with that same name containing five tabs. The fourth tab, labeled 'Startup', will yield the list in question. Scroll through that and see if you can find the Mendix installer or any other Mendix related applications (there should be zero). Uncheck any you might find and make sure to save. Assuming the list contained the relevant application this should solve your problem.