You know sometimes XXX person releases some open source executable.
But it has the actual windows installer.
something like this:
Is usually the basic point of these things to just place certain files in specific locations?
Also how do you go about making your own?
Since clearly tons of people use the windows installer it must be some kind of open source utility right? How would I go about using one for my own programs.

Windows Installeris a free tool, a component available on Windows to both users (to install packages) and developers (to generate installation packages). You can harness its capabilities by using aSetupproject within Visual Studio.Wikipedia Information
MSDN Information
MSDN Information (Reference)
InstallSite Information
There are multiple points to deploying software in such packages, some of which include: having a central container for numerous files which depend upon each other, concealing this unnecessary truth from general users, compression to make the final deployment package smaller, built-in actions to write configuration elements to the system (both for the systems use and your own), custom actions to carry out any processes required prior to running the software, nigh-on fully autonomous rollbacks, uninstall et cetera, and the list continues.
There are other environments available (as opposed to VS) in order to create these packages, some use the
MSItechnology, some use other, proprietary technologies.