If you use the recent cabalized wxHaskell implementations, it's pretty easy, since almost everything is statically linked.
I use InnoSetup, which is Open Source, and works very well. My script needs at least the following:
AppName=My Wonderful Application
AppVerName=My Wonderful Application 0.1.13
CreateAppDir=yes
DefaultDirName={pf}\MyWonderfulApplication
[Files]
Source: "path\to\your\wxWidgets.dll"
Source: "path\to\msvcrt.dll"
Source: "path\to\your\application.exe"
All of the paths except DefaultDirName are paths on your development machine.
The key items are your wxWidgets DLL (may be multiple DLLs, depending on how you built wxWidgets - I recommend and use the monolithic option, which creates a single DLL, wxmsw28u_gcc_custom.dll) and your application binary.
If you are linking to any other libraries, you will need them as well. Many 3rd party libraries on Windows require msvcrt.dll, which is why I've mentioned it.