That's an awesome question Karl.
All at once- if you want to have your install shield package as part of your TFS build I would recommend creating a local (your network) tfs build server that is plugged into the cloud. You can then install in bits you need, ita now your server, and you can customize your build script with a little powershell that packages the msi and puts it into the output folder. The build server will then put everything, including your msi into the service.
After like you describe - you can hook into the API's to download the files locally. Check out http://nakedalm.com/new-un-versioned-repository-in-tfs-2012/ for how you might hook in