MAKEMSI produces MSI files. The "Install Assistant" is postcard-ware (free) and allows you to wrap an MSI to create an EXE, this can also install MSI support during the install and so allow MSIs to be installed even if Windows Installer was not originally there (see "bootstrapper EXE").
I have as yet not tried this tool however it is GUI driven and as far as I know can't be automated.
If you know of any better or any other similar tool or source code then contact me. I'd also appreciate an email on how it went if you try this tool.
The tool can be downloaded from "http://installassistant.com/".