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Building a Windows Setup Project gives many Setup files

I did the following steps to create a Windows Setup project:
Create a Windows Forms Application using Visual Studio
Install "Microsoft Visual Studio Installer Projects plugin"
Add a "Setup Project" to the solution
In the "Application Folder", add project output
(Steps 5 and 6 are optional)
By right clicking the Setup project and opening "Properties", select "Prerequisites"
Select "Download prerequisites from the same location as my application"
Build the solution.
After all these steps, I see many files (Setup.exe, Setup.msi, NETFX472 folder) in the Release folder. But I only want one simple self-contained setup file. So, users can run the setup file and install the application easily.
How can I make a simple and self-contained Setup file for my project?
I know it's possible, but I am looking for an easier and more efficient way to do it.
I know I can create another Windows Forms app called Setup which copies the project outputs to user's Program Files directory and copy the output files one-by-one. But I don't think that solution is elegant.
EDIT:
After more tries, I learned that Setup.exe is for installing dependencies (only .NET Framework 4.7.2 for my case) and then running Setup.msi. So, without Setup.msi file, Setup.exe is nothing and vice-versa.
Also, I want my program should work 100% offline (including setup). So, installer should include offline .NET Framework 4.7.2 installer.
What I don't want here is Setup.exe to only install dependencies. It should also install my program. So, it should do also whatever Setup.msi file does. Second thing I don't want is dependency installer as separate file (offline .NET Framework 4.7.2 installer in this case). It should also be embedded into Setup.exe.

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

Getting the list of installed DLLs from an Microsoft Windows installer class

I am trying to write a plugin (actually a visual studio template wizard that generates the plugin) for an existing application. As part of the plugin installation, I have to insert entries into a configuration database. Often there are multiple DLLs corresponding to different parts of the functionality, sometimes each requiring entries in the same tables, but usually with different combinations of table entries. I need to add those from my installer.
Everything is in C#, for policy reasons.
I'm currently using Visual Studio Installer (VS2010) to create the installer. I'd prefer to use something that is likely to be installed on the user's machine to keep the template / wizard installation simple, but I could (if necessary) bundle / chain-install an open-source (or at least freely redistributable) alternative installer.
For example, to add a menu entry to the application, I have to insert entries into a couple of tables. In the past, I've done this by using an installer helper (sometimes an application, sometimes an installer class) that is called from the installer application. In that design, I would embed the settings I need to add to configuration tables into the installer helper, then execute SQL (via C# :-)) to actually do the add.
The problem is that this leads to repeating the same information into two places, and it's not very maintainable or clean in a wizard environment. I'd really prefer to introspect this information from some attribute I can set on the plugin assemblies.
However I've stumbled at the first step - how can my Installer class find out which assemblies were installed (or will be installed) by this installation?
I did consider trying to embed the list of DLLs into a custom installer property, but that will be hard to generate from my plugin wizard too. Ideally there would be some existing event I can register for, or an existing property I can read, but I haven't discovered it yet.

What you can do is use the Windows Installer API to dump all the DLLs contained in a given MSI package.
In C#, there are various libraries or sample code available to do this.
Here, I will use the open source Wix toolset project's DLLs. So, you just need to download the binaries (not the wix installer), create a project and add references to Microsoft.Deployment.WindowsInstaller.dll and Microsoft.Deployment.WindowsInstaller.Package.dll in this binaries directory
Here is a sample program that writes out all DLL files part of the package.
class Program
{
static void Main(string[] args)
{
string path = #"... myfile.msi";
using (InstallPackage package = new InstallPackage(path, DatabaseOpenMode.ReadOnly))
{
foreach (var kvp in package.Files.Where(f => Path.GetExtension(f.Value.TargetName) == ".dll"))
{
Console.WriteLine(kvp.Value.TargetName);
}
}
}
}
}

I'm not clear on what happens between running the wizard and seeing the .msi. (Is the output of the wizard a VS project or the .msi itself [in which case, end-user wouldn't need VS at all]?) But, let's get started...
It seems like your bottleneck is Visual Studio Installer. It is also a timebomb because it will die with VS2010. Many projects (e.g. Visual Studio itself) use the WiX Toolset instead. For Visual Studio and SharpDevelop users, WiX is "is likely to be installed on the user's machine" and is "open-source." It is available as binaries you can include in your wizard, or the full product can be installed (including a VS extension) from NuGet, Chocolatey or exe by or for the user.
With WiX, you write or generate XML files that describe the contents, UI and action sequence of a Windows Installer package. WiX executables are invoked to do the actual build. If you install WiX's MSBuild files, you can use an MSBuild project to orchestrate the build. If you install WiX's VS extension, you can use VS to edit the project. (A modern VS project is an MSBuild project.) MSBuild comes with .NET (until the next version, where it will be a separate addon).
So, the wizard can generate files for WiX based on user input and data from the plugins. It can also build the MSI. You could still use your Install Helper but it would be better to use WiX's SQL Server custom actions (if they apply in your case) to reliably support uninstallation and upgrading.
Since at least some of the plugin installation and configuration data comes from the plugins, you can have the plugin projects generate it so it can installed with your wizard. WiX supports placing information for separate components in separate files so you wouldn't need to maintain a combined file for your wizard. If the informations is simple, the plugin author could maintain it manually. Otherwise, it can be generated at plugin edit-time or plugin build-time. At edit-time, you could use a T4 template (content mixed with C# code). At build-time, you could use an inline or compiled custom MSBuild task (written in C#). [.csproj files are MSBuild projects.] Again, your wizard installer would grab the generated files along with the plugin DLL to install on the machine where the wizard runs.
You can also use WiX to install your wizard. If your wizard is a VSIX package, use WiX's VSIX custom action. Heck, you could probably use the Wix files for the plugins for both the wizard installer and the installer generated for the user.

add mobile software exe in my msi file and need to run before my msi file run on client system

I have made msi file of my project using setup and deployment option from visual studio.I want to add one exe file of mobile software in my setup folder and i want ,that mobile software exe should be run before my msi file from my setup folder.I don't know that how i give the path of that software exe and run from my setup folder.
I have used prerequisites option and also add file in my application folder while making setup,but i don't get any solution of my problem.
Please help me.

A prerequisite is the correct solution. Visual Studio setup projects do not support custom prerequisite creation. However, it can be done by manually generating the required manifests.
You can find the manifests structure here: http://msdn.microsoft.com/en-us/library/ms229223(VS.80).aspx
These manifests can be generated automatically with the Bootstrapper Manifest Generator tool.
After generating the package manifests, you can add all these files (including the package) in a separate folder in the Visual Studio prerequisites folder, for example:
C:\Program Files\Microsoft SDKs\Windows\v7.0A\Bootstrapper\Packages
You can then select the prerequisite in your setup project property pages.

someone knows how to add a setup file into a setup project in visual studio?

i have a project that also need to install other msi's files to be able to works my previous app, but i was wondering if my installer project could do all this thing in only one setup file, it is possible?

From what I know, you can add merge module (msm) in the VS Setup project and not MSI files directly. You can check with msi provider if msm file is also available or not. In case msm files are not available, one of the work-around would be to include msi files in setup package and launch them using custom action. Obvious issue is that if child msi fails then you may not able to rollback entire thing cleanly.

Usually this is done through prerequisites. In Visual Studio you can add them through the project properties dialog.
This requires an EXE bootstrapper. So if you want a single setup file you can try finding a tool which can include everything in a bootstrapper. Most commercial setup authoring tools can do this.