I ended up using ClickOnce deployment instead of Windows Installer after all! This is because I uninstalled the beta of VS2008 and installed the "proper" version of VS 2008 Express – which doesn’t support Setup projects.
ClickOnce is fairly easy to set up – the only thing that I couldn’t work out was how to get it to notice Content files in dependant projects for deployment purposes i.e. the .sdf file that is the database for the application is in another project, and doesn’t get picked up by the ClickOnce publisher. So I had to move the .sdf file into my main project that is published – not ideal but not the end of the world.
I have also then found that after installing and running the first time, occasionally after the install, the database file can’t be found by the application. Once you run it a second time, it works fine – but the first time on install it doesn’t always work. Weird.