I had GHC-4.08.1 installed in my computer (which runs under a Windows98 platform), and then I decided to install GHC-5.00.2 (this was its latest version at that time). It is said that GHC-5.00.2 can co-exist with other versions of GHC under a Windows platform, because it does not use cygwin anymore.

That's true.

At this point, everything was ok. But when I uninstalled GHC-5.00.2 (in order to install GHC-5.02), a lot of DLL files were removed from the "bin" directory of GHC-4.08.1 (ex.: HSlang.dll). I don't have any idea why this happened, but a lot of my programs that were compiled with GHC-4.08.1 became impossible to run. I had to recover the DLLs from a backup...

My guess is that this is because the two installations overlap and therefore confuse Add/Remove Programs, perhaps because they have the same name (which is perhaps used as a UID).

Is this a uninstall bug? (ps: installing GHC-5.02 didn't bring my old DLLs back).

Indeed, because 5.x versions of GHC don't come with DLLs. The fix is to reinstall 4.08.1 (there's a link to old versions on the GHC download page; actually, you'll get 4.08.2).