Visual Build Pro does not (directly) create install/setup executables. VBP is a build management tool; it aids in the entire build process which, among other things, might include creation of an installation executable (via InstallShield, Wise, etc.), and third party tools such as those can be called from VBP along with the other steps that comprise your build process. See the web pages at
http://kinook.com/VisBuildPro/ for more details.