If you are using VS2008, then you can add a setup project to your solution that you can then use to create the .msi and the setup.exe that you will be able to use to install your application. You didn't specify a specific language so that is an example of how I create an installer package for my C++ apps in VS2008. You can find all the information you need to do that by opening up help in VS2008 and finding deployment in the index.
