MAKEMSI is a freeware tool which enables you to easily and reliably create low overhead "MSI" or "Windows Installer" based installers.
The Windows Installer XML (WiX) is a toolset that builds Windows installation packages from XML source code.
NSIS (Nullsoft Scriptable Install System) is a professional open source system to create Windows installers.
Inno Setup is a free installer for Windows programs. First introduced in 1997, Inno Setup today rivals and even surpasses many commercial installers in feature set and stability.