Here is what I am trying to accomplish (I'm using Visual Studio Installer):

1) Create the smallest possible size for an install. I am emailing these
files so size is critical.
2) Do this with the least possible files needed (I am maybe just a setup.exe).
The less files the less confusing to the user.

I'm not sure what approach I should take. Should I create:

1) .msi file (will need to create it with Build type option of Installer
with Windows Installer Loader since there is no way to guarantee the end
user will have Windows Installer). But this will result in multiple files...Is
that correct? Could I create a self extracting zip of these files maybe?

2) .exe file Not sure how to do this with Visual Studio Installer.

Any ideas/suggestions/comments would be greatly appreciated.