Basically, you can't. It is up to the user to do that. By the way, I do not know of any commercial program that does that. They delete the files they create while installing, but the setup file itself is not deleted.
The main problem is that you do not know in which directory the user saved the setup file before running it.
There is a good reason too to let the user take care of the Setup file. He may want to archive the file in case he needs to reinstall the program. If you automatically delete it, he will be stuck without that possibility. Personnaly, I would not like a program I install on my computer to do that.