How to call custom action before setup run

You don't have to rely on custom actions for those.
In Visual Studio 2008 Standard there is a dialogue available using
Setup Project - Properties - Required Components
that, among other possibilities, exposes various versions of the .NET framework and (on my machine) SQL Server Compact 3.5 and SQL Server 2005 Express SP2 (x86).

So I guess, you will find what you need there.

Keep in mind to select "From same location as application" instead of "From distributor's website" or "From here: ..." in the radio button section. Otherwise there will be no data for that stuff packed in your setup package, but just links instead.

[Edit]
Here is code for the discussed possibility to wrap a setup package in another applications resources. Actually this is to unwrap it. This is executed during the wrapper applicaiton's runtime.

// Create a temporary directory to "extract" your setup stuff to
string tempPath = System.IO.Path.GetTempPath();
for (int tempIndex = 0; tempIndex < int.MaxValue; tempIndex++)
{
    string myTempPath = System.IO.Path.Combine(tempPath, tempIndex.ToString());
    if (
        System.IO.Directory.Exists(myTempPath)
        || System.IO.File.Exists(myTempPath)
    )
    {
        continue;
    }
    tempPath = myTempPath;
    break;
}

string setupExePath = null;

// Repeat what is in these braces
//   for all files and directories
//   that are necessary for your setup to work
{
    string fileName = System.IO.Path.Combine(tempPath, "Setup.exe");
    
    // Only for Setup.exe
    setupExePath = fileName;

    using (System.IO.MemoryStream stream = new System.IO.MemoryStream(Properties.Resources.WhatYouCalledYourSetupFileResource))
    {
        System.IO.File.WriteAllBytes(fileName, stream.ToArray());
    }
}

// Execute the original Setup.exe file.
System.Diagnostics.Process.Start(setupExePath);

// Delete the temporary stuff
System.IO.Directory.Delete(tempPath, true);

[/Edit]