Honestly, I would suggest you NOT create your own installer. There are many many issues with creating installers. Even the big installer makers don't make their own actual installers anymore, they just create custom MSI packages.
Use Mirosoft Installer (MSI). It's the right thing to do. Make your own custom front-end for it, but don't recreate the already very complex wheel that exists.
UPDATE: If you're just doing this for learning, then I would shy away from thinking of it as "an installer". You might be tempted to take your "research" and use it someday, and frankly, that's how we end up with so many problems when new versions of Windows come out. People create their own wheels with assumptions that aren't valid.
What you're really trying to do is called "packaging", and you really have to become intimately familiar with the Executable PE format, because you're talking about changing the structure of the PE image on disk.
You can simulate it, to a point, with putting files in resources, but that's not really what installers, or self-extractors do.
Here's a link to Self-Extractor tutorial, but it's not in C#.
I don't know enough about the .NET PE requirements to know if you can do this in with a managed code executable or not.
UPDATE2: This is probably more of what you're looking for, it embeds files in the resource, but as I said, it's not really the way professional installers or self-extractors do it. I think there are various limitations on what you can embed as resources. But here's the like to a Self-Extractor Demo written in C#.