How can i make my application use it's own installation
Like this:
*Click: setup*
Alert: Are you sure you won't to install this program
Install Don't Install:
*Install*
*first screen: Welcome to ***** [[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[[*
*Second screen: where do you want to save the file *
*third screen: Installing -----------------------------*
*fourth screen: Thank you for installing this program*

Your own installation
goku_simon
Why dont you want to use the CAB route
If you want to write your own installer, it would be easy to do so - just write an executable which uncompresses the rest of the files and puts them in the right folders after displaying the right UI