How to make a setup for my game ?

How to make a setup for my game ?

I’m guessing you mean an installer? If so, then this post on the Unity forums by MikeHergaarden might help you:

http://forum.unity3d.com/threads/80390-Creating-an-.MSI-(Windows-installer)-for-Unity-games

If I’ve read your question wrong, could you elaborate a bit more on what you’re after? “Setup” is a bit vague.