Presumably at some point before calling Activity.Finish in your Main activity your Setup activity has been run?
If so then what you're seeing is the default Android behaviour.
When you go from activity to activity the previous activity is added to the activity stack.
When the current activity stops, the last activity to be added to the activity stack is started.
See this link for some useful info:
Tasks and Back Stack | Android Developers.
The solution (i think) is to call Activity.Finish in your Setup activity when it is stopped.
That should prevent it from being added to the activity stack - so when your Main activity stops the Setup activity will not be on the stack so will not be started.
Martin.