You can do it in several ways, One way is to create .sql file and write all the sql statement which you want to execute at setup time. once you completed with sql statement into file. Make one small application that will take .sql file as parameter. and will execute on required database. Call that application while setup when you done with your .sql file writting.
Following article will help you to call exeternal application while setup. In your case external application will be the that application which will execute sql statement inside .sql on database.
Extending Visual Studio Setup Project[
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