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How Can I Create a Setup File for multiple applications in Visual Studio?

I have a C# application and I have some applications like MySQL, MariaDB etc. that I use with my C# application.I want to make a SETUP file that contains my C# application's EXE file and other applications' (MySQL, MariaDB ..) setup files in one setup file.That setup file will install all of these applications with one setup file.
I have tried with Visual Studio Setup Wizard but I can't manage.Can I do that in Visual Studio?If I can, How can I do that?Should I download a visual studio extension?

You can create Setup by installing WIX tool and Install the Visual Studio extension and follow the WIX syntax
If you need to Include multiple EXE files in Setup you need to refer all the files that u needed in Setup.
If you need to install those setup then you need to create the custom action.
you can create a separate project for a custom action and added the references to the required binaries (ie the Binaries you previously mentioned in tags) and added the corresponding dll formed in the binary tag and called it via CustomAction

It's not clear if you've downloaded and installed the VS 2017 Installer Extension from here:
https://marketplace.visualstudio.com/items?itemName=VisualStudioProductTeam.MicrosoftVisualStudio2017InstallerProjects
which lets you create Visual Studio installer projects (not the setup wizard). I suggest you search for tutorials on setup projects if you're totally unfamiliar with them, such as:
https://msdn.microsoft.com/en-us/library/cc766795.aspx
http://www.c-sharpcorner.com/UploadFile/1492b1/creating-an-msi-package-for-C-Sharp-windows-application-using-a-v/
https://www.red-gate.com/simple-talk/dotnet/visual-studio/getting-started-with-setup-projects/
In general you just drag and drop your files into (say) the Application Folder in the File System view; registry entries can be created using the Registry view. Prerequisites such as SQL runtime support. .NET runtime are added with the setup project's properties, choosing from the list of prerequisites.
This will give you a basic setup with little customization. There might be features you require that Visual Studio setups don't support, so something like WiX will give you a lot more functionality with a steeper learning curve if you've never created an MSI setup file before. I would search for a tool that fits your requirement, and this thread might help:
Best tool to create MSI

Unable to show SQLite option in Data Source in visual studio 2012 c#

I am not able to show SQLite option while I'm going to add Entity framework via wizard in Visual Studio 2012 and Framework 4.5.
I have used below link:
http://system.data.sqlite.org/index.html/doc/trunk/www/downloads.wiki
but still I'm not able to show it.

There is no need to add Sqlite from wizard,you just need to add the .dll to your File System Editor while making a deployment. Here is the full tutorial of how you can achieve this.
include sqlite while build setup exe
Hope it helps.

How can I publish my winform application with SQL Express installation and configuration?

This is my first time publishing my application. I am using Visual Studio 2015 and it doesn't appear to have a setup project. Maybe my installation was not complete? Is there a norm in publishing Winform applications? Or would I need to create a form for an installation wizard. Also, my installation needs to include and configure SQL Express like attaching my empty mdfs, assigning an sa login and such.
Any recommendations?

I think you can use ClickOnce publishing.
In properties of your project, in publish tab, click prerequisites button, you can select SQL Express in prerequisites. This way, you only need to set your database files to copy in output directory, and use AttachDbFileName in connection string.
Also you can create a LocalDB bootstrapper and use LocalDB too. To read more about how to include LocalDb in ClickOnce prerequisites you can take a look at this technet thread.

Setup Project with Access Database VS 2012

I have C# Desktop application with Access Database. How I can make setup project and attach the database in a way that the system can be install on any computer automatically.
I'm using visual Studio 2012

It sounds like you're wanting to add the database to the install file, so that when you install it, the database is there with you? If so, create a deployment installation project.
See http://msdn.microsoft.com/en-gb/library/2kt85ked(v=vs.80).aspx for more details.
Using the windows installer, you can add files to the installation and they will be installed to a set (by you) location.

How Can I Create Folders in the Installation Process?

I haven't deployed the application yet. I'm new to this, how can i create folders under C:\Programs Files during installation? Should i put the snippet of creating folders in program.cs?
The application is Winform in C#

In Visual Studio, use the MSI Installer Wizard template to add an Installer to your solution.
Using this template you can set up the appropriate folders (also registry keys, start menu shortcuts etc.) to create when you deploy your project.
In Visual Studio 2008 this template is under Other Project Types->Setup and Deployment->Setup Wizard.

Use deployment (setup) project. it will create this folder for you

Add a Setup project to your Solution And then add Primary output and all the files needed.
From the Property windows of the setup project you can choose default location where to save
your projects which I usually do in my projects.
Refer this for more info http://msdn.microsoft.com/en-us/library/ms235317%28VS.90%29.aspx

I strongly recommend WiX over the visual studio deployment project. It has a bit of a learning curve, but it's worth learning it.