Fllow these steps:
1)Add new project > other projects >select Setup
2)Add primary output along with that add "content file"
if you have your database in your project
As you explain we accept that you know that how to create setup so you just add contains file in your project contain file having all dll all files along with database
Try this if its work accept the answer
http://www.msdotnet.co.in/2012/06/how-to-create-setup-fileexe-file-from.html#.U41Wkyh6Pt0[
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