By default Thinstall will produce an EXE with a different filename in the same directory as the input EXE. For example test.exe becomes setup_test.exe or run_test.exe. Some programs perform actions based on their EXE name and will fail to run when renamed in this fashion.
Solution:
To solve this problem you place the Thinstall EXE in a different directory when building, or copy setup_test.exe over the original test.exe after building.