Make sure you follow those steps (may be differ)
1. goto the d/p wizard.
2. choose the (app.vbp you want to maker the setup for) then click Package.
3. Click the type of package you want then click Next.
4. Choose the directory you want to assemble the package in then click Next.
5. Choose between ocx or dll then click Next (may not happen)
6. Choose how many cab files you want
7. Write the title you want for your app installation.
8. Choose the icons you want to the Start Menu.
9. Choose the locations where you want each file to be installed.
10. Choose if you want to share the file or not.
11. Enter a script name.
12. Click finish.