If you want to convert your setup into a windows installer package, you will need to repackage it. Within the Repackager tool in AS 7.5, you can use SnapShot method or the Installation Monitoring option. I think its more easier to use the enhanced Installation Monitoring option in AS 7.5.
But I have to warn you that embedded in your setup.exe, there may already be an msi package as alot of vendors are using MSI technology to create setups for their applications, however they embed them in setup.exes. So you may want to launch your setup.exe on a clean machine & go into the temp directory to see if an msi package gets extracted before you start repackaging it. It is not recommended to repackage existing msi packages as it breaks the upgrade paths. Just a word of caution :).
If you need more information, take a look at
www.msiuniversity.com.