How to create my own installer?

So, I've been wondering how can I create my own installer. For example: Let's say I upload a torrent with a .exe file for a game of some sort. When they open up the .exe file they will be prompted to press a few accept buttons. When they click the accept button it will download some freeware (essentially for PPI), and then download the actual file/program they downloaded the torrent for. I've seen many people do it, so I was wondering if someone can help me out with some advice?

Thank you for your time!