Have you tried encoding the payload you want, output it to an exe and then wrap them both together using iexpress in windows?
I've had some success with this before but have never tested it against Kaspersky. I use a small program convert.exe that does basic conversions for you, used that with my encoded payload (as an exe) and used iexpress to package the two executables together. Then when I run my 'new' convert.exe (which has the hidden payload) I can get a shell.
Not sure if this is where you're heading but it works well for me.
Sickness did a sweet tutorial on this using the MSN Installer to hide the payload, search google for "backtrack iexpress" and you should find the first hit is his tutorial.
Hope that helps somewhat.