This is the default behavior of MSI-based installs. Shortcuts and some other entry points into apps will trigger a check that files are still there. Why are you installing a file that you remove later?
Search this forum for DISABLEADVTSHORTCUTS for a solution that some have used. Visual Studio setups don't support the official solution described here under the ComponentId description:
http://msdn.microsoft.com/en-us/library/aa368007(VS.85).aspx
Phil Wilson