Creating A Good Set Up File

Try using Wix: http://wix.sourceforge.net/ It supports checking for .NET version, it supports external executables and scripts that are executed as part of the installation, and many other things. Actually, it supports all features of MSI format, which is not the case with other MSI editors.

That tool gives you best insight into content of installation package. You can combine it with Orca tool.

These tools require some learning, but it pays off when you come to the point of really creating a professional setup package.