how do you join setup and win32 projects in the same solution to form a win32 app with an install

I have a win32 project in a solution and I have added a setup project to the solution so that I can have the install check for previous versions, so on and so forth. But I must have missed something because when I perform the install (from .msi or .exe files) there is never any files added to the install location and no start shortcut. what have I done wrong? (or what else do you need to know to work out what I've done wrong?)