Making a setug file to my Win Application

The only way that is built in is to use the click once system, or you will have to look at a third party solution.

Introduction to ClickOnce Deployment
http://msdn.microsoft.com/vbasic/learning/clickonce/

Yes click once deployment is free and comes with express. I do not have an express install here at the moment, but from memory if you go to the tools menu there is a publish function, It is also available in the project properties. Just run the publish wizard and follow the prompts.