The .cab files can be deployed directly to the smart device, or by using a storage card. A Setup.exe file isn't used in this case.
If you're looking for a Setup.exe file, maybe the Smart Device Setup project isn't the right project type for you. Do you want to be able to create an installation that is first installed on a desktop computer? Then the end user would use Windows Mobile Device Center or ActiveSync to install your product onto the Windows Mobile device when it is connected with the desktop computer. The following help topic has more info: Creating Installations for Mobile Devices
