Go to Project / Components and Project / References and try unticking any ticked boxes - it will let you know if the controls are in use. Remove any you can, then re-run the setup wizard. This should reduce the size of the setup.
Also, providing the PC you are sending the program to is not from the Dark Ages you can also get away with not having

StdOle2.tlb
OleAut32.dll
OlePro32.dll
AsycFilt.dll
Ctl3d32.dll
ComCat.dll

included in the setup - remove these from the last step of the wizard - it will moan about these files being required for every VB application but it will still run ok if the destination PC has up to date versions. The main thing that changes these would be IE5 etc - so if you create the setup on a PC that has IE5 you should find most users will also have IE5 and there shouldn't be any problems.

PS - if the user gets an 'unexpected error; quitting' error message when they run the program they need the updated OLEAUT32.DLL and OLEPRO32.DLL - these are installed when you install IE5 etc etc.

Hope this helps. (oh yes, and you DO need to send all the files in the setup dir, not just the SETUP.EXE)