Step by step:

1. open your solution

2. right click on solution explorer to add a setup project

3. right click on setup project new created to add a new project output, OK

4. right click on setup project and select property

5. Prerequisites, 系统必选, 将需要include的framework钩上.

6. 钩选第二项,从与我系统相同位置下载

7. rebuild, you can see the files below in debug folder：

DotNetFX40Client

                          dotNetFx40_Client_x86_x64.exe

WindowsInstaller3_1       

                          WindowsInstaller-KB893803-v2-x86.exe                    .exe

setup.exe

setup1.msi

Link:

http://www.cnblogs.com/neru/archive/2010/10/16/1852879.html