Ideally you'd use the Visual Studio Installer 1.1 that Microsoft supplied as an add-on to VB/VS 6.0 a long time ago. While a bit long in the tooth (and recently removed from Microsoft Downloads) it works fine and was intended for just this purpose. The process is described in the Help that came with the product.
However if you have an edition of VS 2010 that can create real Setup projects (i.e. not Express) it should work in a very similar manner. It should be a standard option to add MSMs to a Setup project.
Bob Riemersma
2010-05-29 14:24:02