You'll need the following projects. They can be created from project templates in Visual Studio. Each of them would probably have separate tutorials that you might find with a Web search.
A WiX Setup project to build an .msi. The source files for such a project declare a WiX/Product. It could have conditions that check for .Net Framework4.0 and SQL Server 2008. If a check fails, installation of the .msi will fail, which is all that can be done in an .msi. The project would include your application .exe as a Component.
A WiX Bootstrapper project to build an .exe. The source files for such a project declare a WiX/Bundle. In the bundle is a Chain of installers, which would include .Net Framework4.0, SQL Server 2008, your .msi, and your VBScript Agent.
A WPF Library project to provide a BootstrapperApplication implementation with a custom UI for the bootstrapper project.
Your best bet is to consult the documentation, the WiX source code and various tutorials. Keep in the mind that tutorials might be out-of-date--in most cases WiX has gotten simpler with each version.