Do you mean the installer?
On Windows, the program that you run to install the new application, which displays everything in the correct directory, creates the Start menu and allows you to remove it?
Visual Studio has an installer installer (it may not be in the free express version) that makes the MSI installer files. It is fairly easy to use for simple tasks, but it becomes difficult to do something else.
As an alternative to creating traditional setup.exe-type installations, I use the excellent free Innosetup
On Linux, you usually create a package using any format used by your distribution (.deb / .rpm). There are many instructions on the specifics of each, and the tools for this will probably already be installed on your Linux system.
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