Combine exe and msi file in one installer

Distribution Scope?: Not sure what the overall goal is: worldwide distribution or corporate deployment, or what exactly it is that you are doing. This has major implications for what makes sense in terms of solutions. For corporate deployment even a batch file might be fine. In most cases I would recommend WiX Burn (free, capable, maintained - i.e security fixes).

Batch (or PowerShell, ActiveScripting, etc...): For corporate deployment a simple batch file can work, just to point out the obvious. It can even work in combination with deployment tools such as SCCM (which has many other ways to deploy things of course). You can probably combine a batch file with the self-extracting archive tools below as well. Not something I like to use for security reasons. Silent installation of MSI files (command line sample).

7-Zip - et al: This tool (and similar tools, such as WinRAR) can make self-extracting archives that run a command on extract. I have seen many people get problems with these tools, and often security related - or runtime dependency hiccups.

dotnetinstaller bootstrapper: Not something I know much about. It is just a bootstrapper. Runs things in sequence for you. Here it is on github.com (open source). When I tried it - briefly - I found it a bit weird. Just want to mention it.

NSIS: As suggested by Zett42 above. Note that I have seen problems with NSIS binaries with malware scanners (tool author took measures quickly when I reported it). Run the finished product by virustotal.com to check for false positives. This goes for all other tools as well though.

Inno: Again: not a tool I use, but should be capable of doing what you need.

WiX Burn: This is probably the most flexible and capable option that is free. Commercial tools will have more ease-of-use, but this framework should cover most use cases I think. Somewhat fiddly - it is complex and capable. See top colored section here for WiX Burn "how-to" links.

Commercial Options: And there are several commercial options: Advanced Installer (very advanced: conditional install of prerequisites), Installshield (screen shot of main view suite projects), etc...

Some Links: