In Visual Studio.net, you first create a solution containing all of the programs (separate projects) that you wish to include. I'll explain later how to do the same thing if you don't have the projects.
In Solution Explorer, right-click on the solution and select "Add" and "New Project". When the "Project types"" window appears, looki under "Setup and Deployment" and under "Templates:" select "Setup Project". Give your setup project a name and click "OK".
Click on the Setup project you just created. As is common in Visual Studio, there are many different ways to do things. Mine is just one. Right-click on the project and select "View" | "File System". A window should appear in the main area. Open the Application Folder. Right-click on the work area and select "Add" | "Project Output". In the pop-up window, select the project you wish to add abd select "Primary output". The project's output files will be added to the application folder.
Continue adding projects until all of the projects are added. You can compile the application (you may have to make sure the Setup project is selected in Project Manager) and install/uninstall it from VS (for testing purposes). You can also add specific files as you would if you don't have the source code for the executables. If you have COM objects (ActiveX), they can be configured to be automatically registered with Windows.
There are many options to this, as you might guess. Here are some links:
Step-by-Step Process of Creating a Setup and Deployment Project: ASP Alliance (http://aspalliance.com/622)
How to create a Setup package by using Visual Studio .NET (http://support.microsoft.com/kb/307353)
Setup and Deployment Projects (http://msdn.microsoft.com/en-us/library/wx3b589t(VS.80).aspx)
http://www.c-sharpcorner.com/UploadFile/vishnuprasad2005/SetupProjects12022005022406AM/SetupProjects.aspx