Just check http://forum.world.st/Packaging-of-4-1-for-Windows-td1680318.html
or the NSIS scripts at: https://lists.gforge.inria.fr/pipermail/pharo-project/2009-May/008774.html
We already have MSI installers for the Newspeak VM. See {build.win32x86,build.win64x64}/newspeak.cog.spur/installer. These were contributed by Peter von der Ahé, and are reasonably easy to edit to accommodate Squeak.
vm-dev@lists.squeakfoundation.org