Creating MSI is not always an easy task - one tool that definitely helps is WiX - Windows Installer XML - a free-ware, open-source project run by Microsoft employees in their free time.
It's quite messy, though, to get into it - here's a good WiX Tutorial for starters.
Another interesting approach is "Wix#" (WiX Sharp) - a C# frontend that outputs WiX script from C# source - quite intriguing.
