As discussed in the comments, Setup projects got removed from Visual Studio; a version of InstallShield was provided as their replacement. The standard alternative to InstallShield is WiX. WiX is somewhat arcane at first - it's a pretty thin layer over Windows Installer - but there are quite a few resources and examples out there.
Good resources for getting into WiX are http://wix.tramontana.co.hu/ and http://wixtoolset.org/documentation/manual/v3/. You can download the tooling from http://wixtoolset.org/