Well, you probably want to read about .Net boot downloads.
http://msdn.microsoft.com/en-us/magazine/cc163899.aspx
Visual Studio allows you to create installation projects in which you can specify that the structure is a prerequisite.
One of the minor troubles with downloading Microsoft is that you need to send the EXE along with your MSI (the EXE will take care of the boot). This may or may not be a traffic jam for you. A bootloader is included in the free version in the Windows SDK.
More sophisticated / expensive installation environments, such as Wise or Installshield, will take care of this for you (and allow you to pack everything into one EXE).
If you are following the WiX path: read this question .
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