As correctly said above the issue is to do with the fact that .msi installer does not handle prerequisites even if you specify it in the properties in setup project.

Use setup.exe file instead, as it will prompt user to install all specified prerequisites.

But there is an issue that you need to supply both files then (setup.exe and setup.msi). I found a How do I make a self extract and running installer , where it is described how you need to package these files in self-extracting archive and configure it to launch setup.exe by default automatically upon extraction completes.