+1  A: 

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.

See http://msdn.microsoft.com/en-us/library/aw2dz878.aspx

Bob Riemersma
Thanks, it was indeed very easy to create the setup project. Still struggling with which merge files to use. I still have no luck getting the crystal reports to work on the client computers that do not have Crystal Reports Preinstalled.
Dabblernl
Perhaps the support forums for the product have some specific suggestions. http://forums.sdn.sap.com/category.jspa?categoryID=54
Bob Riemersma
It surfaced that some of the .msm's have a KeycCode property that needs to be filled with the licence code of CRXI developper version.
Dabblernl