How can I create an MSI setup?

Google "Freeware MSI installer".

e.g. https://www.advancedinstaller.com/

Several options here:

http://rbytes.net/software/development_c/install-and-setup_s/

Though being Windows, most are "shareware" rather than truly free and open source.

If you don't understand Windows Installer then I highly recommend The Definitive Guide to Windows Installer. You can't really use WiX without understanding MSI. Also worth downloading is the Windows Installer 4.5 SDK.

If you don't want to learn the Windows Installer fundamentals, then you'll need some wizard type package to hide all the nitty gritty details and hold your hand. There are plenty of options, some more expensive than others.

• InstallShield
• Advanced Installer
• MSI Factory
• etc..

However still I'd suggest picking up the above book and taking some time to understand what's going on "under the hood", it'll really help you figure out what's going wrong when customers start complaining that something is broken with the setup :)

You can use Visual Studio - that's paid.

You can use https://www.advancedinstaller.com/ - that has a free edition.

You can use http://nsis.sourceforge.net/Main_Page - for example Winamp uses this installer - and is very configurable and is Open Source.

You can use Wix (which is free) to create an MSI installation package.

WiX Tutorial - Creating an Installer MSI with Wix