their would be no points in putting the redistribuable in the MSI since you cannot launch another msi while an msi is runing.
a good practice would be to compressed all your files in the setup.exe. it's easier to carry around and prevent anyone from replacing them with nasty stuff and launch them with admin's right.
right click on the prerequisit and open the properties
Now specificly for the .net 3.5, since it's a windows feature on most of the modern OS (anything but xp...) the installation of the module will failed. I would suggest making a launch condition validation the presence of the registry key HKLM\SOFTWARE\Microsoft\NET Framework Setup\NDP\v3.5|Version
. like that
it will make your installer smaller and probably more usefull since you can customize the error message to explain how to activate it.