I have to wonder. Just installed this, and then it's complaining that it wants to install something else, while not giving me any indication what it is. Extra DLL's it needs? Graphical Framework? Spyware?

unsetup.exe is part of the UDK (Unreal Development Kit), in which this game was made. It does actually not install anything additional - as the GOG installer takes care of that - but I believe the exe can theoretically used by developers to - as you mentioned - install additional libraries needed for the game. In this case however, it does nothing. It's called up by the UDK.exe by default but it's harmless.

So it seems. But if you don't let it call it then the game crashes and refuses to run.

I've since tried the game and lost interest a while ago, so thanks anyways.