As my previous speakers have said, I also recommend that you use WiX . Visual Studio (prior to version 2008) also has its own built-in installer system. But I would avoid using it because you need to use the full Visual Studio environment to compile it. You cannot use command line building scripts, and therefore it is useless when working with an automatic build server.
WiX gives you all the flexibility you might need. And as far as I know, Microsoft will use it as a standard installation tool in Visual Studio 2010.
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