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Look for a program called "IE.exe" in your windows folder. That would be Internet Explorer if I have it right.
As for the setup program - it is a net installer (especially if it is less than a meg big). It will scan your system and see what additional components are needed to download so it can get Internet Explorer together.
Aside from that, why wouldn't you have Internet Explorer on your computer? It is extremely hard to get rid of in the first place. And all versions of Windows (post 95) ship with it.
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