A Wix/Bundle
is used to produce an executable that chains installers together. Therefore, the output should be given an .exe extension.
You can invoke the WiX Toolset compiler and linker manually as you appear to have done or use an MSBuild project. WiX installs a template project for Visual Studio to use. It's called WiX Bootstrapper. If you didn't know, Visual Studio and SharpDevelop projects are MSBuild projects. So, there are two more ways to build a build: Via the IDE or on the commandline with msbuild.exe.
Note: Visual Studio won't show the four WiX project templates if you install WiX before Visual Studio. In that case, simply Repair the WiX installation.