Problem creating a shortcut when deploying a C#.net 2008 application

I would like a suggestion on how to create a shortcut that when deploying a C#.net 2008 desktop application. Here are the steps that I follow when creating a setup and deployment package. 1. I create a setup and deployment project file. 2. I then right click on the application folder in the file system and select add and then select file. 3. I then select all the files in the bin/x86/debug folder. 4. I then click on the setup project file and select build.
  After step 4, I would like to create a shortcut. However at this point if I create a shortcut , but all I get is all the files I originally  obtained from the bin/x86/debug folder.
  To actually obtain an executable, I need to run the msi installer. Once I have run the MSI installer, I can click on the exectuable in the msi installer location and create a shortcut. Why would I have to run the MSI installer, to obtain the executable I want to work with? Am I following some steps incorrectly when creating the setup project. I also wanted to mention that I am obtaining alot of files from the bin/x86/debug folder since i do not know what files I actually need. Alot of the files are needed since the application works with third party software.