There are two things you can do. First, you can run the 2.0 installer (if that's what you had previously directly installed) and then it will put the file back into "C:\Documents and Settings\Anthony Thomas\Application Data\Arcen Games, LLC\AI War\install\." Then you'd be able to run the uninstaller properly.
Secondly, the new version 3.0 of the game is a completely new installer that completely replaces the older stuff, and works better in general (such as not requiring the older copy of the installer to hang around in the directory above). It will completely replace 2.0 or earlier if you install 3.0, although if you are not able to properly uninstall 2.0 I am not sure exactly how it will work. All of this is Microsoft's MSI installation/patching system, which is supposed to be very simple but turned out not to be terribly much so. In 3.0 we went with a different patching system, which lets us just use MSI for installation and not for patches, which then should bypass the various wonky issues with MSI when you try to use it for patches -- which is what you're running into.