All I can say is, when it tells you only one instance of set-up can be running at any one time, it means you have set-up still running somewhere, and it's probably running in the background
For this message to appear, it sounds like you've tried to run set-up again while it's still running
If set-up is running, it won't allow you to remove it from your computer
Have you tried switching the computer off, switching back on again, then going to add remove programs after this?