Use Visual Studio Setup project. Setup project can automatically include .NET framework setup in your installation package:
Here is my step-by-step for windows forms application:
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Create setup project. You can use Setup Wizard.

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Select project type.

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Select output.

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Hit Finish.
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Open setup project properties.

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Chose to include .NET framework.

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Build setup project
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Check output

Note: The Visual Studio Installer projects are no longer pre-packed with Visual Studio. However, in Visual Studio 2013 you can download them by using:
Tools > Extensions and Updates > Online (search) > Visual Studio Installer Projects