I followed the instructions described in this tutorial: https://www.youtube.com/watch?v=Bc4n7IO_YTU
Generally it works, but if the archive contains special characters like ä-ű-ő-é-á etc. the file names are messed up after the extraction (seems like an encoding problem).
So I decided to create my own extractor in C#. I'm familiar with the DLL creation/custom action process, but I don't know how to catch the moment when the file download is finished in the installer (so I can call my custom action to extract the downloaded archive).
I would also like to update the status bar, but I already found an example for that here: http://www.advancedinstaller.com/forums/viewtopic.php?f=5&t=27535