ANSWER:

You can use the WiX Toolset to create an .msi (WiX Setup project) and an .exe (WiX Bootstrapper project). By default the .msi will be embedded in the .exe.

The setup project should include your application project deliverables as well as third party DLLs. For info see this documentation.

The bootstrapper project should include your .msi, Microsoft .NET 3.0 Framework and Microsoft Visual C++ 2010 SP1 Redistributable Package (x86) that Emgu CV needs. For info see this documentation.

This website has good tutorials but it does not cover Bootstrapper projects.

Tom Blodget from http://stackoverflow.com/questions/17159616