MSI - Setup and Deployment Project
You've probably used .msi files to install many Windows applications via a simple to use wizard dialog. Its beauty is that a single file, which you can place on a web site, has all the necessary information to install everything correctly.
The Setup and Deployment Project facility within Visual Studio is the utility that you can use to package and distribute your applications within these .msi files. If properly made, all necessary files, dependancies and build instructions will be bundled into the single file.