NSIS (Nullsoft Scriptable Install System) is a fantastic piece of software I have been using to create an installer for a project at work. It is highly customisable and handles both the installing and un-installing of files. From the website:

NSIS (Nullsoft Scriptable Install System) is a professional open source system to create Windows installers. It is designed to be as small and flexible as possible and is therefore very suitable for internet distribution.

The software itself is small and integrates nicely with my favourite (Windows) text editor: NotePad++.