NSIS is a pretty small, efficient, capable installation system for win32. It is completely free and open source.

Changes in Current Version:
Easier Modern User Interface with lots of new features
New paging system which makes is easier to add custom pages to your installer
New multilingual user strings
Lots of new and improved plug-ins which you can use to download files from the internet, display additional graphics, run console programs, and more
Over 15 new translations
New documentation format
More info:
hxxp://www.firehose.net/~deadbeef/free/nsis/