Open Source "windows" installer

Windows Installer is a free tool, a component available on Windows to both users (to install packages) and developers (to generate installation packages). You can harness its capabilities by using a Setup project within Visual Studio.

Wikipedia Information

MSDN Information

MSDN Information (Reference)

InstallSite Information

There are multiple points to deploying software in such packages, some of which include: having a central container for numerous files which depend upon each other, concealing this unnecessary truth from general users, compression to make the final deployment package smaller, built-in actions to write configuration elements to the system (both for the systems use and your own), custom actions to carry out any processes required prior to running the software, nigh-on fully autonomous rollbacks, uninstall et cetera, and the list continues.

There are other environments available (as opposed to VS) in order to create these packages, some use the MSI technology, some use other, proprietary technologies.