How to cancel self extracting wizard installation?

I am having a BIG problem installing self extracting programs such as RAR. It just wont install smoothly.
And to make it worse, my OS also stops working once the installation hangs and so I have to reboot.
So I need to know how to cancel this self extracting wizard installation so that I don't have to restart the OS and just try to install it again.
I hope it's not too confusing.
Thanks.
