If you've ever installed
Tomcat on Windows, then you've used the NSIS (Nullsoft Scriptable Install System) installer. I like it for Windows installation/uninstallation because it's scriptable, which means you can add custom steps relatively easily. I also like it because it's free. :-)
http://nsis.sourceforge.net/ In terms of how to use NSIS, I dedicate seven pages of the book to writing an NSIS script that creates an executable installer, with a custom page in the install wizard, for the example application.
Mike