Yes, there is a problem with this program due to the fact that the software still tries to install/uninstall some components and it's requesting something from a server that was removed.
Please go to Start > Run > type msconfig and press Enter. From the Startup tab please uncheck: C:\Program Files\Hp\HP Software Update\HPWuSchd2.exe and reboot your computer. On the other hand, if you have the file that is requested MyDVD.MSI you can point the installer to it and it will install properly then you can perform a normal uninstallation. This is a more convenient way which I must assure you that it will work. Also, you can try an uninstallation utility which deals with this type of programs more aggressively. Your Uninstaller!, for example has an advanced uninstallation option that will completely wipe everything related to that software/entry.
