You should build and test the installer on Windows. (If you don't test it on Windows, you don't know it works on Windows.)
The commonly used free installation software products used for making Windows installers typically include Wix and Inno Setup. For ease of use, I prefer Inno Setup; it has some free GUIs (linked to from the site itself) for creating the setup scripts used to build the installer, is pretty flexible without any custom work on your part, and easily extendable using it's built-in Object Pascal-based scripting language.
Wix, however, supports building MSI-based installers that use Windows Installer. MSI installs are often required by corporate network administrators because they allow pushing the installation out to computers in the network domain easily. It's harder to work with unless you're pretty familiar with it, so it may not be suitable for a one-off installer requirement like you seem to need.