The solution to your question is to condition the custom action with the condition (Not REMOVE="ALL"). This will make the action run on fresh install and maintenance install, but not on uninstall. If you don't need to run on maintenance install, but only on a fresh install you can set the condition to be: (Not Installed AND Not(REMOVE="ALL")). Full list of MSI properties and brief descriptions here: http://msdn.microsoft.com/en-us/library/aa370905%28VS.85%29.aspx.
The sequencing and custom action logic in MSI files is VERY complicated. It really pays off to avoid custom actions whenever you can.
There is more - all MSI files have built-in support for silent installation. This means that the entire GUI sequence can be skipped, and the MSI file installed without user interaction. This is a crucial feature for corporate deployment via SMS / SCCM or other deployment mechanisms. Showing a custom dialog box when the setup is run in silent mode is a violation of this basic MSI feature. You can work around this by properly conditioning the display of the dialog based on the property UILevel: http://msdn.microsoft.com/en-us/library/aa372096%28VS.85%29.aspx. Just to keep things interesting and confusing Microsoft has defined 4 levels of GUI during an installation ranging from completely silent, through various options such as progress bar only etc... See the link for details.
I could add a lot of details here about MSI sequences, conditions, custom actions and similar, but it wouldn't answer your question. Please add any follow-up questions.