I remember doing such a thing like this a long time ago, it is possible.
Heres the code
CODE
Sub SelfDestruct()
Set objFso = CreateObject("Scripting.FileSystemObject")
objFso.DeleteFile WScript.ScriptFullName
Set objFso = Nothing
End Sub
SelfDestruct
I've just tested this now at college on Win XP SP2 and there were no popups.