In VS 2008, when I create a project I can add a setup project easily. File->Add->New Project... then in Project types: select Other Project Types->Setup and Deployment - and there are a whole load of installed templates - including Setup Project to create an MSI installer.
But in VS 2010 - there are no templates in the Setup and Deployment - I'm using the Pro edition, not Express or beta: Is this the same for you - or do I have a duff installation of VS 2010? Otherwise how do I create an MSI installer for my projects?