Making Install Program, & using MSI installer

first..
(1):
I love MSI installer(SDK from msdn.microsoft.com, like 17mb)
it works great... but, the folder never shows up in the program files menu... I know I need to make a registry entry, can somebody please tell me what i need to add, to what key?

second..
(2):
I want to make an installer program, how do i keep all the files in a program, like winzips self extractor program...
but after that, I want to install those files(extract to c:\program files\dir for app..,register dll's and OCX's, etc.) then after that, I want to delete all the files from the folder the exe was ran from, except the main one(the one containing all the files.)
I hope this isnt too confusing...
I KNOW I will have to use some API, which I am not very good at.
if you know any of the declarations i need(IE, findwindow, bitblt, I know I wont need those(I may need bitblt for the gradient) but they are just examples)
I should be able to figure out how the use them, with the help of vbapi.com

thank you very much.

[Edneeis]

For the first question, that one was bugging me too. To put a folder in the Programs Menu add a custome folder add make the Property=ProgramMenuFolder. Then you can stick your subfolders in under that.

As to your second question I didn't understand what you are trying to do and why?

Here is a link to more of the specialfolder names for Visual Studio Installer:
http://msdn.microsoft.com/library/ps.../pref_4zar.htm

ok, you know how winzip has a self extractor program?

ok I changed my mind about what I wanted...
you stick a bunch of files into one .exe
you run the exe and the files are extracted, like they were zipped or something.
I want to make a program, that starts up with the gradient background(I got that part), and the "setup wizard" looking thing...(copyright, name of app, continue/exit)
if the user chooses continue, he selects a directory where the files will be installed.
then the files extract themselves into the selected directory(with progressbar, etc.)