I guess what you're talking about is ClickOnce technology. ClickOnce allows you to publish the application and all accompanying files to a location (for example a network share or a web site) and users can just install it by navigating there. You can even publish your application to a shared hosting provider and people can just install your application.
The application will then be installed in the user's profile.
The advantage of this is: You can publish updates easily if you configure your application to automatically check for updates - just publish the new version to the previous location. Every user will get the update upon the next start of the application. Users don't need admin rights to install your tool!
The drawback is: Every user (even on the same machine) will need to install the application in his own profile. There's no common installation for all users.
The advantage of creating setup projects is of course that you follow the traditional approach of installing an application on the system, making it available for all users. The drawback is that installing updates is far more difficult, and users need admin rights to install it!