SharpDevelop2 2.1 codenamed "Serralongue" will ship with support for WiX (Windows Installer XML toolset) setup creation. Matt has a detailed blog post on the WiX integration, as well as one on the new setup for SharpDevelop2 2.1 that was built using the WiX feature set.
In other news: we are pleased to announce that we will ship Beta 1 of SharpDevelop2 2.1 "Serralongue" on Tuesday, September 19th.