We are working on a winforms app in Visual Studio 2005 and the setup project we created output both an MSI and an EXE. We aren't sure what the EXE file is used for because we are able to install without the EXE.
Setup.exe is able to monitor applications, record keyboard and mouse inputs and manipulate other programs. If Setup.exe is located in a subfolder of "C:\Program Files", the security rating is 38% dangerous.
To build your program and create teh executable file choose Build My Project.exe from the Build menu - "My Project" represents teh name you chose for your project and the extension ".exe" is used to designate that the file being created will be an executable file.
Primary outputRight-click the Application Folder item and choose Add | Project Output to add the add-in's assembly to your setup project. In the Add Project Output Group dialog box, select the Primary Output item of your Add-in/RTD Server/Smart Tag project and click OK.
It's a bootstrapper that checks to make sure that the .NET Framework is installed, before launching the MSI. It's pretty handy.
I suggest using something like SFX Compiler to package the two together into one self-extracting .exe and then launch the extracted setup.exe. This way you retain the benefits of the bootstrapper, but your users only download a single thing.
Edit: also see
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