Go to the Custom Actions view. Add a Custom Action of type "exe" that points to the executable you wish to start after the setup. The field "Return Processing" should be "Asynchronous" in order to finish the current setup.
Go to the dialogs view and select the last dialog of your setup (normally the SetupCompleteSuccess dialog). Select "Behaviour" and add a DoAction Event associated with the final OK Button that has the above defined exe Custom Action as an argument.
Hope this helps, H.