I think that he's asking not for a ready-made installer, but for information how to code a installer in his own. Joshuzzz, am I right? So, the executable installer contains all application files in its resources (on Lazarus you can use normal windows resources or dedicated Lazarus Resources, which are cross-platform). When the installer is executed, these files are extracted from the .exe and copied into real directories on hard disk, so the application is able to run. The installer can also do other things (i.e. setting up registry variables) needed by installed application. In addition, good installer should check if it's not damaged (i.e. by calculating and comparing a checksum).
//edit: Of course if you just need to do a setup program for your application, you can use ready-made installer.